Scribd Logo
Upload

Welcome to Scribd!

  • Binomial Option Pricing - Single Period

    Uploaded by

    Devina Yao
    13 views1 page
    option

    Copyright

    © © All Rights Reserved

    Available Formats

    XLS, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    option

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    13 views1 page

    Binomial Option Pricing - Single Period

    Uploaded by

    Devina Yao
    option

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    BINOMIAL OPTION PRICING Single Period Call

    Inputs
    Option Type: 1=Call, 0=Put 1
    Stock Price Now $100.00
    Up Movement / Period 30.00%
    Down Movement / Period -20.00%
    Riskfree Rate / Period 2.00%
    Exercise Price $90.00
    Time To Maturity (Years) 0.75
    Number of Periods 1
    Now Maturity
    Period 0 1
    Time 0.000 0.750
    Stock $100.00 $130.00
    $80.00
    Call $17.25 $40.00
    $0.00
    Replicating Portfolio
    Stock Shares Bought (Sold)
    0.800
    Money Lent (Borrowed)
    ($62.75)

    You might also like