Inputs

n=
p=
k=

5
0.2
3

Output
nk=
P(X=3)

10
0.0512

7
5
0.104445

NORMAL DISTRIBUTION
0.5
Continous Asset Model
S0
30

5%
sigma
20%
t
1
2
3
4
5
6
7
8
9
10

0
30
30
30
30
30
30
30
30
30
30
30
30
30
30
30
30
30
30
30
30
30
30
30
30
30
30

1
34.53817
31.32773
31.35967
37.30846
31.03896
35.70816
35.06314
33.57188
34.99749
32.35037
31.26228
32.67423
37.55065
35.79601
31.96714
32.74976
35.42327
35.07874
33.93918
31.22342
34.43413
34.44473
36.89056
33.60806
31.15743
31.0671

2
33.53019
32.93748
38.14437
39.74994
42.05877
33.35916
33.84657
37.62766
35.90924
42.15319
42.09667
36.84568
32.4421
40.04656
37.08762
38.56743
34.91465
41.92448
42.07406
35.82337
41.11816
39.65858
36.10777
42.00382
39.4202
34.08645

3
38.48438
34.70834
35.83816
34.13245
38.71471
36.35593
33.522
38.70597
34.48268
40.04499
41.49296
42.03901
40.47129
40.93577
40.42864
45.53079
33.36243
36.91985
42.04375
44.74073
45.94429
40.47172
37.92148
40.6626
34.58825
34.41269

4
37.80768
37.58201
46.48134
34.00592
42.49967
44.95707
41.14784
44.62591
34.23884
41.85248
33.91664
39.06614
35.38031
34.46993
44.32953
49.68413
45.78512
44.72665
42.63356
44.45593
39.37455
35.91758
34.19255
34.67787
50.11451
48.86866

5
35.95037
42.09352
43.43711
39.73096
36.92773
38.55775
43.08941
35.69386
41.74979
53.41084
46.03935
38.74737
52.42222
39.0175
35.33545
50.78408
39.27024
51.84945
36.03941
38.1371
40.84291
42.70495
48.85604
54.45607
35.80858
48.38656

30
30
30
30
30
30
30
30
30

31.17401
35.04601
37.02649
35.01092
37.56175
31.08745
35.77102
37.15581
34.46041

32.34827
40.2049
32.96608
35.16891
39.26763
39.34223
36.20275
31.9383
35.19491

35.63452
42.50622
32.93855
36.35382
40.95923
33.46519
36.22084
41.67328
41.64896

44.88293
45.26951
34.9989
49.15068
35.64304
37.59165
43.18176
45.61586
34.55381

35.73528
51.45164
46.57844
42.14059
50.05632
43.55229
39.23617
47.6823
35.28809

60
50
40
30
20
10
0
1

Option Inputs
S0
X
T
r

100
120
2
5%
30%

Option Parameters
d1
0.018098
d2
-0.406166
N(d1)
0.50722
N(d2)
0.34231
N(-d1)
0.49278
N(-d2)
0.65769
C
P

13.55375
22.13424

Year

Nominal
1
1990
23.19
2
1991
20.20
3
1992
19.25
4
1993
16.75
5
1994
15.66
6
1995
16.75
7
1996
20.46
8
1997
18.64
9
1998
11.91
10
1999
16.56
11
2000
27.39
12
2001
23.00
13
2002
22.81
14
2003
27.69
15
2004
37.66
16
2005
50.04
17
2006
58.30
18
2007
64.20
19 2008 forec 71.3311
20 2009 forec
80.933
21 2010 forec 91.2791
22 2011 forec 102.3694
23 2012 forec 114.2039
Std
1524%

#VALUE! (St+1- St)/ log

-0.128935 0.871065 -0.138039
-0.04703 0.95297 -0.048172
-0.12987 0.87013 -0.139113
-0.065075 0.934925 -0.067289
0.069604 1.069604 0.067289
0.221493 1.221493 0.200074
-0.088954 0.911046 -0.093162
-0.361052 0.638948 -0.447931
0.390428 1.390428 0.329612
0.653986 1.653986 0.503188
-0.160277 0.839723 -0.174684
-0.008261 0.991739 -0.008295
0.213941 1.213941 0.193872
0.360058 1.360058 0.307527
0.328731 1.328731 0.284224
0.165068 1.165068 0.152779
0.101201 1.101201 0.096401

23%

Nominal
70.00
60.00

f(x) = 0.3721136481x^2 - 4.9099529154x + 30.2930147059

50.00
Nominal

40.00

Polynomial (Nominal)

30.00
20.00
10.00
0.00
1

9 10 11 12 13 14 15 16 17 18

inal

nomial (Nominal)

Option Inputs
S0
100
X
120
T
2

30%
dt
1
r
5%
Option parameters
u
1.349859
d
0.740818
p
0.509741
q
0.490259
Call Option 14.62658

134.9859
30.16533
100
14.62658
74.08182
0

,
182.2119
62.21188

100
0

54.88116
0

Option Inputs
539.9435
205.5938

S0
X
T
r
1
2
dt

400
400
4
5%
30%
20%
1

Option Parameters
For first 2 years
1
1.349859
d1
0.740818
p1
0.509741
q1
0.490259
For the last 2 yrs
2
1.221403
d2
0.818731
p2
0.577493
q2
0.422507

400
0

296.3273
0

1087.313
687.3127
890.2164
509.7246
728.8475
366.9126

728.8475
328.8475
596.7299
216.2381

596.7299
196.7299

488.5611
108.0693

488.5611
88.5611

400
59.36557

400
0
327.4923
0

327.4923
0

268.128
0

268.128
0

219.5247
0

219.5247
0
179.7316
0
147.1518
0

Option Inputs
539.9435
205.5938

S0
X
T
r
1
2
dt

400
400
4
5%
30%
20%
1

Option Parameters
For first 2 years
1
1.349859
d1
0.740818
p1
0.509741
q1
0.490259
For the last 2 yrs
2
1.221403
d2
0.818731
p2
0.577493
q2
0.422507

400
0

296.3273
0

1087.313
687.3127
890.2164
509.7246
728.8475
366.9126

728.8475
328.8475
596.7299
216.2381

596.7299
196.7299

488.5611
108.0693

488.5611
88.5611

400
59.36557

400
0
327.4923
0

327.4923
0

268.128
0

268.128
0

219.5247
0

219.5247
0
179.7316
0
147.1518
0

Option Inputs
L
5%
R
5.50%
T-t
3
y
3%

2%
B
100,000,000.00
Option Parameters
d1
-2.7340473903
d2
-2.7686884064
other
p(t,T)
91393118.5271228
N(d1)
0.003128052
N(d2)
0.0028141217
N(-d1)
0.996871948
N(-d2)
0.9971858783
Price caple
Price Floorl

49.53 option to Borrow

152,371.40 Option to lend

Call
Put