IV) i.

S0 = 100, K = 100, T = 0, 25, r = 0,1, = 0,39

C0 = S0 N (d1 ) KerT N (d 2 ) = 8,9684
S0
2
+ (r + )T
2
d1 = K
T
ii) Modelul binomial cu 3 perioade i u=1,1
ln

At each node:
Upper value = Underlying Asset Price
Lower value = Option Price
Values in red are a result of early exercise.
Strike price = 100
Discount factor per step = 0.9938
Time step, dt = 0.0625 years, 22.81 days
Growth factor per step, a = 1.0063
Probability of up move, p = 0.5090
Up step size, u = 1.1001
Down step size, d = 0.9090
121.0157
22.25791
110.0071
13.88221
100
100
8.34903
5.376972
90.9032
2.719787
82.63391
0

146.448
46.44797
133.1259
33.74894
121.0157
21.01569
110.0071
10.63018
100
0
90.9032
0
82.63391
0
75.11687
0
68.28364
0

Node Time:
0.0000

0.0625

0.1250

0.1875

0.2500

2.
e0,250,1 d e0,250,1 d e0,250,1 d
Se tie c p =
=
=
2d d
2(1 d )
ud
Arborele binomial cu 2 perioade:

C0=8.96
100

100(1-d)
100(2-d)

Cu

0
100d

Cd
Nu se exercita call

C0 = ert ( pCu + (1 p)Cd ) = e0,250,1

e0,250,1 d
100(1 d ) = 50(1 e0,250,1d )
2(1 d )

8,9684 = 50(1 e0,250,1d ) d = 0,84