Option Valuation Audit Sheet

Assumptions

Intermediate Computations
$100.00
$130.00
5.00
5.00%
0.00%
35.00%
5
Custom

PV Asset Value ($)

Implementation Cost ($)
Maturity (Years)
Risk-free Rate (%)
Dividends (%)
Volatility (%)
Lattice Steps
Option Type

Stepping Time (dt)

Up Step Size (up)
Down Step Size (down)
Risk-neutral Probability
Results
Auditing Lattice Result (10 steps)
Super Lattice Results

If(Asset>=Barrier,Max(Asset-Cost,0),0)
If(Asset>=Barrier,Max(Asset-Cost,OptionOpen),OptionOpen)

Terminal Equation
Intermediate Equation
Intermediate Equation (Blackouts)
Custom Variables
Name
Barrier
Value
150.00
Starting Step
0

Underlying Asset Lattice

575.46
405.52
285.77
201.38
141.91
100.00

285.77
201.38

141.91
100.00

70.47

141.91
100.00

70.47
49.66

70.47
49.66

34.99

34.99
24.66
17.38

Option Valuation Lattice

445.46
281.86
165.28
92.52
50.20
26.63

155.77
71.88

33.17
15.31

7.07

0.00
0.00

0.00
0.00

0.00
0.00

0.00

0.00
0.00
0.00

1.0000
1.4191
0.7047
0.4852

30.55
26.63