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  • Parallel Option

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    lifeee
    11 views3 pages
    Option

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    Option

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    11 views3 pages

    Parallel Option

    Uploaded by

    lifeee
    Option

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 3

    UNDERLYING

    1714.59
    1208.25
    851.44
    600.00

    851.44
    600.00

    422.81

    422.81
    297.95
    209.96

    Infrastructure

    1214.59
    732.64
    417.53
    229.34

    351.44
    162.19

    74.85

    0.00
    0.00
    0.00

    License

    1114.59
    637.51
    351.04
    188.23

    251.44
    116.04

    53.55

    0.00
    0.00
    0.00

    Underlying Asset Lattices

    Maturity: 3.00 Years

    Underlying
    PV Asset
    Volatility
    Notes

    $600.00
    35.00%

    Option Valuation Lattices


    Phase2
    Cost
    Riskfree

    $500.00
    5.00%

    Terminal Equation
    Intermediate Equation
    Intermediate Equation (Blackout)

    Dividend
    Steps

    0.00%
    3

    Max(Underlying-Cost,0)
    Max(Underlying-Cost,OptionOpen)

    License
    Cost
    Riskfree

    $100.00
    5.00%

    Terminal Equation
    Intermediate Equation
    Intermediate Equation (Blackout)

    Dividend
    Steps

    0.00%
    3

    Max(Phase2-Cost,0)
    Max(Phase2-Cost,OptionOpen)

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