Scribd Logo
Upload

Welcome to Scribd!

  • Binomial Macro

    Uploaded by

    Andrew Good
    8 views2 pages

    Copyright

    © Attribution Non-Commercial (BY-NC)

    Available Formats

    XLS, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    8 views2 pages

    Binomial Macro

    Uploaded by

    Andrew Good

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    S

    K
    u
    d
    r (cts. Compounded annual)
    (cts. Compounded annual)
    (annual)
    Time per 1 period (Years)
    Number of Periods
    Call/Put
    European/American

    100
    130
    0
    0
    0.06
    0.02
    0.3
    0.25
    4
    Put
    European

    p*

    0.462570155

    Call
    Put
    European
    American

    137.7128
    117.3511
    100

    102.0201
    86.93582
    75.57837

    `
    7.264934
    17.78091
    29.08435

    27.33211
    39.63118
    51.33156

    72.8790

    189.6481
    161.6074
    140.4948
    119.7217
    104.0811
    88.69204
    77.10516
    65.70468
    57.12091
    0
    0
    0
    13.72222
    25.91892
    39.81486
    52.89484
    62.68757
    72.87909

    You might also like