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  • Option Valuation Audit Sheet Assumptions & Computations

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    lifeee
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    This document contains the assumptions and intermediate computations for valuing an option using a lattice method. It lists the asset value, implementation cost, maturity, risk-free rate, dividends, volatility, number of lattice steps, and option type. It then shows the underlying asset lattice and corresponding option valuation lattice over 5 steps. The results section compares the lattice valuation to a super lattice valuation and identifies the terminal and intermediate equations used.

    Original Description:

    barrier option

    Original Title

    With Barrier and Salvage

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    © Attribution Non-Commercial (BY-NC)

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    This document contains the assumptions and intermediate computations for valuing an option using a lattice method. It lists the asset value, implementation cost, maturity, risk-free rate, dividends, volatility, number of lattice steps, and option type. It then shows the underlying asset lattice and corresponding option valuation lattice over 5 steps. The results section compares the lattice valuation to a super lattice valuation and identifies the terminal and intermediate equations used.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    11 views1 page

    Option Valuation Audit Sheet Assumptions & Computations

    Uploaded by

    lifeee
    This document contains the assumptions and intermediate computations for valuing an option using a lattice method. It lists the asset value, implementation cost, maturity, risk-free rate, dividends, volatility, number of lattice steps, and option type. It then shows the underlying asset lattice and corresponding option valuation lattice over 5 steps. The results section compares the lattice valuation to a super lattice valuation and identifies the terminal and intermediate equations used.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    Option Valuation Audit Sheet

    Assumptions

    Intermediate Computations
    $200.00
    $80.00
    5.00
    5.00%
    0.00%
    45.00%
    5
    Custom

    PV Asset Value ($)


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

    SALVAGE
    70.00
    0

    Underlying Asset Lattice

    1897.55
    1209.93
    771.49
    491.92
    313.66
    200.00

    771.49
    491.92

    313.66
    200.00

    127.53

    313.66
    200.00

    127.53
    81.31

    127.53
    81.31

    51.85

    51.85
    33.06
    21.08

    Option Valuation Lattice

    1897.55
    1209.93
    771.49
    491.92
    313.66
    202.88

    1.0000
    1.5683
    0.6376
    0.4445

    Results
    Auditing Lattice Result (10 steps)
    Super Lattice Results

    203.92
    202.88

    If(Asset<=Barrier, Max(Asset, SALVAGE),Asset)


    If(Asset<= Barrier, Max(SALVAGE, OptionOpen),OptionOpen)

    Terminal Equation
    Intermediate Equation
    Intermediate Equation (Blackouts)
    Custom Variables
    Name
    Barrier
    Value
    50.00
    Starting Step
    0

    Stepping Time (dt)


    Up Step Size (up)
    Down Step Size (down)
    Risk-neutral Probability

    771.49
    491.92

    313.66
    200.00

    132.98

    313.66
    200.00

    127.53
    91.63

    127.53
    81.31

    71.37

    51.85
    70.00
    70.00

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