BINOMIAL OPTION PRICING

Inputs
Option Type: 1=Call, 0=Put
Stock Price Now
Up Movement / Period
Down Movement / Period
Riskfree Rate / Period
Exercise Price
Time To Maturity (Years)
Number of Periods

Period
Time

Multi-Period

Call

1
$60.00
10.00%
-5.00%
0.50%
$65.00
2.00
8
Now
0
0.000

1
0.250

2
0.500

3
0.750

4
1.000

5
1.250

6
1.500

Stock

$60.00

$66.00
$57.00

$72.60
$62.70
$54.15

$79.86
$68.97
$59.57
$51.44

$87.85
$75.87
$65.52
$56.59
$48.87

$96.63
$83.45
$72.07
$62.25
$53.76
$46.43

$106.29
$91.80
$79.28
$68.47
$59.13
$51.07
$44.11

Call

$3.93

$6.73
$2.34

$10.94
$4.34
$1.20

$16.78
$7.65
$2.46
$0.48

$24.13
$12.66
$4.81
$1.12
$0.12

$32.60
$19.42
$8.84
$2.52
$0.32
$0.00

$41.94
$27.44
$14.93
$5.39
$0.87
$0.00
$0.00

0.487

0.667
0.367

0.838
0.552
0.244

0.958
0.758
0.413
0.130

1.000
0.929
0.644
0.259
0.043

1.000
1.000
0.882
0.484
0.108
0.000

1.000
1.000
1.000
0.803
0.269
0.000
0.000

Replicating Portfolio
Stock Shares Bought (Sold)

Money Lent (Borrowed)

($25.32)

($37.28)
($18.60)

($49.93)
($30.26)
($11.99)

($59.71)
($44.66)
($22.16)
($6.20)

($63.72)
($57.86)
($37.36)
($13.53)
($2.00)

($64.03)
($64.03)
($54.74)
($27.59)
($5.50)
$0.00

($64.35)
($64.35)
($64.35)
($49.61)
($15.06)
$0.00
$0.00

7
1.750

Maturity
8
2.000

$116.92
$100.98
$87.21
$75.32
$65.05
$56.18
$48.52
$41.90

$128.62
$111.08
$95.93
$82.85
$71.55
$61.79
$53.37
$46.09
$39.81

$52.25
$36.30
$22.53
$10.64
$2.39
$0.00
$0.00
$0.00

$63.62
$46.08
$30.93
$17.85
$6.55
$0.00
$0.00
$0.00
$0.00

1.000
1.000
1.000
1.000
0.671
0.000
0.000
0.000

($64.68)
($64.68)
($64.68)
($64.68)
($41.28)
$0.00
$0.00
$0.00