Lattice Parameters

Initial Price
100
0.25
T (years)
23.4%
volatility
# Periods
3
R
u
d
q
1-q

Option Parameters
Strike

1.01
1.07000
0.93458
55.70%
44.30%

Stock-Lattice

100.000

107.000
93.458

114.490
100.000
87.344

122.504
107.000
93.458
81.630

t=0

t=1

t=2

t=3

22.504
7.000
0.000
0.000
t=3

Option-Lattice

6.576

10.231
2.129

15.481
3.860
0.000

t=0

t=1

t=2

Option Parameters
100

Lattice Parameters
Initial Price
100
0.25
T (years)
30.0%
volatility
# Periods
15
1.02
R
110.00
K
div
1.01
u
1.03948961
d
0.96201
q
49.25%
1-q
50.75%

Option Parameters
Strike

112.5674166

112.34311952

Stock price
0
15
14
13
12
11
10
9
8
7
6
5
4
3
2
1
0

116.756377443
112.32087 108.05386501
108.053865 103.948961
100
103.948961
100 96.20105771 92.5464350468
96.20105771 92.54643505 89.03064939 85.6484263987

100

Option price call

0
15
14
13
12
11
10
9
8
7
6
5
4
3

9.9640082517
7.34770139 4.8138546042

2
5.302378815
3.32123 1.8750776029
1
3.750414491 2.246965082 1.206052745 0.5576720509
0 2.604077133 1.493465538 0.763305566 0.334197396 0.1175734172

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15

15
1
1
1
1
1
1
1
1
1
1
1
1
1
1
0

Option Parameters
110

126.15977848
121.3670413 116.756377443
112.32087 108.05386501
103.948961
100
96.20105771 92.5464350468
89.03064939 85.6484263987
82.39469211 79.2645653056

17.0722459287
13.20273059 9.4567077783
6.827933489 4.2816477928
2.862701484 1.4877399296

10

11

131.141779
121.3670413
112.32087
103.948961
96.20105771
89.03064939
82.39469211
76.25335021

136.3205167
126.1597785
116.7563774
108.053865
100
92.54643505
85.6484264
79.26456531
73.35652945

141.7037608
131.141779
121.3670413
112.32087
103.948961
96.20105771
89.03064939
82.39469211
76.25335021
70.56975723

147.2995871
136.3205167
126.1597785
116.7563774
108.053865
100
92.54643505
85.6484264
79.26456531
73.35652945
67.88885288

153.1163904
141.7037608
131.141779
121.3670413
112.32087
103.948961
96.20105771
89.03064939
82.39469211
76.25335021
70.56975723
65.30979453

10

11

31.78190805
21.33369518
12.30178106
5.614031027
1.828060224
0.366141729
0.033041608

37.36006926
26.39014427
16.44129953
8.293175066
3.018072805
0.674559623
0.067116008
0

43.1609158
31.75589207
21.20094919
11.83368264
4.863172373
1.229705268
0.136329883
0
0

21.52680981
12.7610765
6.256601319
2.368109468
0.634470806

26.4703022
16.74414595
8.904578934
3.691306816
1.085730833
0.197017758

0.917991124 0.3657514465 0.105246034 0.016266579

0.208411026 0.0558762585 0.008008133
0
0.029508458 0.0039424515
0
0

14
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0
0

13
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0
0
0

12
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0
0
0
0

11
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0
0
0
0
0

0
0
0

0
0
0

0
0
0

10
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0
0
0
0
0
1

9
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0
0
0
0
0
1
1

8
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0
0
0
0
0
0
1
1

Stock price
12

13

14

159.1628971
147.2995871
136.3205167
126.1597785
116.7563774
108.053865
100
92.54643505
85.6484264
79.26456531
73.35652945
67.88885288
62.82871313

165.4481778
153.1163904
141.7037608
131.141779
121.3670413
112.32087
103.948961
96.20105771
89.03064939
82.39469211
76.25335021
70.56975723
65.30979453
60.44188658

171.9816619
159.1628971
147.2995871
136.3205167
126.1597785
116.7563774
108.053865
100
92.54643505
85.6484264
79.26456531
73.35652945
67.88885288
62.82871313
58.14573419

12

13

14

15
178.7731508
165.4481778
153.1163904
141.7037608
131.141779
121.3670413
112.32087
103.948961
96.20105771
89.03064939
82.39469211
76.25335021
70.56975723
65.30979453
60.44188658
55.9368113

0
15
14
13
12
11
10
9
8
7
6
5
4
3
2
1
0

100

Option price put

49.19328051
37.33590077
26.36231853
16.20665937
7.598238298
2.212458403
0.27692107
0
0
0

55.46634654
43.13866905
31.72984301
21.17138123
11.39990126
3.914372975
0.562497947
0
0
0
0

61.98966127
49.17303267
37.31169981
26.3344591
16.17541416
6.773580224
1.142578066
0
0
0
0
0

15
68.77315076
55.44817785
43.11639045
31.70376083
21.14177898
11.3670413
2.320870045
0
0
0
0
0
0

0
15
14
13
12
11
10
9
8
7
6
5
4
3

0
0
0

0
0
0

0
0
0

0
0
0

7
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0
0
0
0
0
0
1
1
1

6
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0
0
0
0
0
0
1
1
1
1

5
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0
0
0
0
0
0
0
1
1
1
1

4
#VALUE!
#VALUE!
#VALUE!
0
0
0
0
0
0
0
1
1
1
1
1

3
#VALUE!
#VALUE!
0
0
0
0
0
0
0
1
1
1
1
1
1

2
1
0

12.3597848

2
#VALUE!
0
0
0
0
0
0
0
1
1
1
1
1
1
1

1
0
0
0
0
0
0
0
1
1
1
1
1
1
1
1

121.3670413
116.7563774
112.32087
108.053865 103.948961
100 96.20105771
92.54643505 89.03064939
85.6484264 82.39469211

126.1597785
116.7563774
108.053865
100
92.54643505
85.6484264
79.26456531

131.141779
121.3670413
112.32087
103.948961
96.20105771
89.03064939
82.39469211
76.25335021

0.77301304
1.67469851 2.550728417
3.025704141 4.338609023 6.076287948
4.825290602 6.574647728 8.74865541 11.34747277

0.267000489
1.264518499
3.800448258
8.288588237
14.32304524

112.32087
108.053865 103.948961
103.948961
100 96.20105771
96.20105771 92.54643505 89.03064939

7.029497833 9.172917359 11.70011428 14.57168036 17.7097882 21.00766988

9.567862168 12.03719079 14.8243799 17.86567734 21.07366748 24.3515736 27.60530789
15.07698187 18.0364773 21.16511026 24.38054241 27.60530789 30.73543469 33.74664979

10

136.3205167
126.1597785
116.7563774
108.053865
100
92.54643505
85.6484264
79.26456531
73.35652945

141.7037608
131.141779
121.3670413
112.32087
103.948961
96.20105771
89.03064939
82.39469211
76.25335021
70.56975723

147.2995871
136.3205167
126.1597785
116.7563774
108.053865
100
92.54643505
85.6484264
79.26456531
73.35652945
67.88885288

10

0.05236587
0.47544166
2.031011763
5.519876853
10.9805885
17.57573009

0
0.103212289
0.836938207
3.190987803
7.783286876
14.09022982
20.96935061

0
0
0.203429766
1.452198371
4.880278377
10.60526734
17.48103893
24.3515736

11

12

153.1163904
141.7037608
131.141779
121.3670413
112.32087
103.948961
96.20105771
89.03064939
82.39469211
76.25335021
70.56975723
65.30979453

159.1628971
147.2995871
136.3205167
126.1597785
116.7563774
108.053865
100
92.54643505
85.6484264
79.26456531
73.35652945
67.88885288
62.82871313

11

12

0
0
0
0.400956806
2.47320045
7.219137041
13.89788769
20.96935061
27.60530789

0
0
0
0
0.790279434
4.107808884
10.24288513
17.45356495
24.3515736
30.73543469

13

14

165.4481778
153.1163904
141.7037608
131.141779
121.3670413
112.32087
103.948961
96.20105771
89.03064939
82.39469211
76.25335021
70.56975723
65.30979453
60.44188658

171.9816619
159.1628971
147.2995871
136.3205167
126.1597785
116.7563774
108.053865
100
92.54643505
85.6484264
79.26456531
73.35652945
67.88885288
62.82871313
58.14573419

13

14

0
0
0
0
0
1.557628087
6.585016713
13.79894229
20.96935061
27.60530789
33.74664979

0
0
0
0
0
0
3.070059973
10
17.45356495
24.3515736
30.73543469
36.64347055

24.3515736 27.60530789 30.73543469 33.74664979 36.64347055 39.43024277 42.11114712

30.73543469 33.74664979 36.64347055 39.43024277 42.11114712 44.69020547 47.17128687
36.64347055 39.43024277 42.11114712 44.69020547 47.17128687 49.55811342 51.85426581

15
178.7731508
165.4481778
153.1163904
141.7037608
131.141779
121.3670413
112.32087
103.948961
96.20105771
89.03064939
82.39469211
76.25335021
70.56975723
65.30979453
60.44188658
55.9368113

15
0
0
0
0
0
0
0
6.05103896
13.79894229
20.96935061
27.60530789
33.74664979
39.43024277

44.69020547
49.55811342
54.0631887

Lattice Parameters
Initial Price
100
0.25
T (years)
30.0%
volatility
# Periods
10
2.00%
r
Div-Yield

1.00%

u
d
q
1-q

1.03949
0.96201
49.03%
50.97%

Futures Parameters
Expiration
15
F(0)
100.2503128

Futures Lattice
0
15
14
13
12
11
10
9
8
7
6
5
4
3
2
1
0

104.20915855
100.2503128 96.4418612341

Option Lattice (call)

0
10
9
8
7
6
5
4
3
2
1
0

2.6025711506
1.654327536 0.7431892652

0
9
8
7
6

5
4
3
2
1
0

-5.7908414459
-9.74968724 -13.558138766

Intrinsic value

Option Parameters
Call / Put
1
Strike
110
Expiration
10
Type
American

112.60202352
108.3243376 104.20915855
100.2503128 96.4418612341
92.77809058 89.2535044649

6.0025485848
4.003941386 2.0838791497
1.256140536 0.4606688919
0.250210846 0.0479116468

117.0486336
108.3243376
100.2503128
92.77809058
85.86281534

121.6708385
112.6020235
104.2091586
96.44186123
89.25350446
82.60093654

126.4755725
117.0486336
108.3243376
100.2503128
92.77809058
85.86281534
79.46297463

131.4700436
121.6708385
112.6020235
104.2091586
96.44186123
89.25350446
82.60093654
76.44422208

136.6617444
126.4755725
117.0486336
108.3243376
100.2503128
92.77809058
85.86281534
79.46297463
73.5401502

8.732606338
3.380130493
0.838234739
0.097747883
0

16.58030331
12.27151698 8.134445901
5.333848978 2.643134053
1.502843631 0.406855213
0.199422255
0
0
0
0
0

26.66174438
21.47004358 16.4755725
11.88716684 7.480847606
4.529609509 1.693450119
0.830053618
0
0
0
0
0
0
0
0
0

26.66174438
21.47004358 16.4755725
16.4755725 11.67083849 7.048633555

2.6020235155
-1.67566237 -5.7908414459
-9.74968724 -13.558138766
-17.2219094 -20.746495535

7.048633555
-1.67566237
-9.74968724
-17.2219094
-24.1371847

11.67083849
2.602023515
-5.79084145
-13.5581388
-20.7464955
-27.3990635

7.048633555
-1.67566237
-9.74968724
-17.2219094
-24.1371847
-30.5370254

2.602023515
-5.79084145
-13.5581388
-20.7464955
-27.3990635
-33.5557779

-1.67566237
-9.74968724
-17.2219094
-24.1371847
-30.5370254
-36.4598498

142.0584634
131.4700436
121.6708385
112.6020235
104.2091586
96.44186123
89.25350446
82.60093654
76.44422208
70.74640233

9
32.05846343
21.47004358
11.67083849
3.454925372
0
0
0
0
0
0

9
32.05846343
21.47004358
11.67083849
2.602023515

10

147.6682968
136.6617444
126.4755725
117.0486336
108.3243376
100.2503128
92.77809058
85.86281534
79.46297463
73.5401502
68.05878734

10
37.6682968
26.66174438
16.4755725
7.048633555
0
0
0
0
0
0
0

11

153.4996603
142.0584634
131.4700436
121.6708385
112.6020235
104.2091586
96.44186123
89.25350446
82.60093654
76.44422208
70.74640233
65.47327328

12

13

14

159.5613021
147.6682968
136.6617444
126.4755725
117.0486336
108.3243376
100.2503128
92.77809058
85.86281534
79.46297463
73.5401502
68.05878734
62.98598142

165.8623157
153.4996603
142.0584634
131.4700436
121.6708385
112.6020235
104.2091586
96.44186123
89.25350446
82.60093654
76.44422208
70.74640233
65.47327328
60.59318033

172.412154
159.5613021
147.6682968
136.6617444
126.4755725
117.0486336
108.3243376
100.2503128
92.77809058
85.86281534
79.46297463
73.5401502
68.05878734
62.98598142
58.29128038

15
179.2206428
165.8623157
153.4996603
142.0584634
131.4700436
121.6708385
112.6020235
104.2091586
96.44186123
89.25350446
82.60093654
76.44422208
70.74640233
65.47327328
60.59318033
56.07682828

0
0
0
0
0
0
0
0
0
0
0

1
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0
0

2
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0
0
0

9
8
7
6
5
4
3
2
1
0

-5.79084145
-13.5581388
-20.7464955
-27.3990635
-33.5557779
-39.2535977

3
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0
0
0
0

4
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0
0
0
0
0

5
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0
0
0
0
0
0

6
#VALUE!
#VALUE!
#VALUE!
0
0
0
0
0
0
0

7
#VALUE!
#VALUE!
1
0
0
0
0
0
0
0

8
#VALUE!
1
1
0
0
0
0
0
0
0

9
1
1
1
0
0
0
0
0
0
0

Lattice Parameters
Initial Price
100
0.25
T (years)
30.0%
volatility
# Periods
10
2.00%
r

Option Parameters
Call / Put
1
Strike
100
Expiration
15
Decision
10

1.00%

Div-Yield
u
d
q

1.03949
0.96201
49.25%

1-q

50.75%

Stock price
0
15
14
13
12
11
10
9
8
7
6
5
4
3
2
1
0

112.32087
108.053865 103.948961
103.948961
100 96.2010577
96.2010577 92.546435 89.0306494

100

116.756377
108.053865
100
92.546435
85.6484264

121.367041
112.32087
103.948961
96.2010577
89.0306494
82.3946921

Final option lattice (call)

0
15
14
13
12
11
10
9
8
7
6

5
4
3
2
1
0

14.0294043
10.8958782 7.86249038
8.28864749 5.76422563 3.73200898
6.18112042 4.14019013 2.56706415 1.4383729

17.6840124
10.4924547
5.31572952
2.19773356
0.70248955

21.8198287
13.6825343
7.40392655
3.29298723
1.13642293
0.28189369

17.809622
11.4669195
8.85741497
10.4289748
14.9680232

21.8198287
13.9301087
9.0843528
8.64302935
12.1687766
17.6940402

Chooser option
0
10
9
8
7
6
5
4
3
2
1
0

14.5856478
12.3248017 10.1391375
11.0846142 9.88850791 9.65181083
10.812447 10.5554584 11.20955222 12.7284343

126.159778
116.756377
108.053865
100
92.546435
85.6484264
79.2645653

131.141779
121.367041
112.32087
103.948961
96.2010577
89.0306494
82.3946921
76.2533502

136.320517
126.159778
116.756377
108.053865
100
92.546435
85.6484264
79.2645653
73.3565294

10

11

12

13

165.448178
153.11639
141.703761
131.141779
121.367041
112.32087
103.948961
96.2010577
89.0306494
82.3946921
76.2533502
70.5697572
65.3097945
60.4418866

141.703761
131.141779
121.367041
112.32087
103.948961
96.2010577
89.0306494
82.3946921
76.2533502
70.5697572

147.299587
136.320517
126.159778
116.756377
108.053865
100
92.546435
85.6484264
79.2645653
73.3565294
67.8888529

153.11639
141.703761
131.141779
121.367041
112.32087
103.948961
96.2010577
89.0306494
82.3946921
76.2533502
70.5697572
65.3097945

159.162897
147.299587
136.320517
126.159778
116.756377
108.053865
100
92.546435
85.6484264
79.2645653
73.3565294
67.8888529
62.8287131

10

11

12

13

59.1832855
47.3259058
36.3523235
26.1966644
16.7979639
8.59595209
2.92686939

65.4596821
53.1320046
41.7231786
31.1647168
21.3932368
12.3500804
4.95886627
0.95709042

47.3434165
41.761928 36.3734915
36.3946302 31.2105029 26.221217
31.2500313 26.2786154 21.5103334 16.9533654
26.3685726 21.6492822 17.1715359 12.9727629 9.118798113

53.1475914
41.7425676
31.1876247
21.4194014
12.6309862
5.71681691

17.4203925
10.0645771
4.82708883
1.80657003
0.48690755
0.08314837

13.3284295
6.90418401
2.81479798
0.82944586
0.1548532
0.01362584

26.3685726
17.4203925
10.5525424
7.66569611
9.59703974
14.672196
20.6378403

31.2500313
21.6492822
13.3284295
7.86595572
7.47641426
11.6610442
17.603636
23.5955676

9.60811456 6.34961661 3.66677579 1.67997404 0.47118128

4.28502224 2.2845052 0.94475129 0.23196533
0
1.39004858 0.52304619 0.11419791
0
0
0.28602272 0.05622031
0
0
0
0.02767759
0
0
0
0
0
0
0
0
0

36.3946302
26.2786154
17.1715359
9.60811456
6.18065887
8.73863195
14.5043999
20.6224724
26.4959419

41.761928
31.2105029
21.5103334
12.9727629
6.34961661
6.02077458
11.3815828
17.5440816
23.6230649
29.3009771

10
47.3434165
36.3734915
26.221217
16.9533654
9.118798113
3.66677579
8.30887829
14.3705876
20.6349331
26.5380477
32.0011697

0
0
0
0
0
0

14
171.981662
159.162897
147.299587
136.320517
126.159778
116.756377
108.053865
100
92.546435
85.6484264
79.2645653
73.3565294
67.8888529
62.8287131
58.1457342

15
178.773151
165.448178
153.11639
141.703761
131.141779
121.367041
112.32087
103.948961
96.2010577
89.0306494
82.3946921
76.2533502
70.5697572
65.3097945
60.4418866
55.9368113

Final option lattice (put)

14
71.9863285
59.1696999
47.308367
36.3311263
26.1720814
16.7702474
8.06918531
1.9440969
0

15
78.7731508
65.4481778
53.1163904
41.7037608
31.141779
21.3670413
12.32087
3.94896104
0
0

0
15
14
13
12
11
10
9
8
7
6

0
0
0
0
0
0

0
0
0
0
0
0

5
4
3
2
1
0

1.53375039
2.64348066 3.72201844
4.11637181 5.54826195 7.32396004
5.9320561 7.69776041 9.78853351 12.1864058

10

11

0
0
0
0
0
0
0.01668007 0.03287616 0.06479838 0.12771657
0.09834146 0.17764432 0.31823347 0.56435744 0.98841262

0
0
0
0
0.25172731
1.7038876

0.77549696
2.27051173
5.13289963
9.45481628
14.8449461

0.32211892
1.21593135
3.29529109
6.91935268
11.921256
17.6916333

0.53946785
1.87312092
4.67742593
9.09930012
14.667307
20.6378403

0.89090939
2.8274178
6.47561145
11.6511135
17.603636
23.5955676

1.44717756
4.16855956
8.71846009
14.5043999
20.6224724
26.4959419

2.30475244
5.97980033
11.3815828
17.5440816
23.6230649
29.3009771

3.58354656
8.30887829
14.3705876
20.6349331
26.5380477
32.0011697

5.40978451
11.1274054
17.5269749
23.6642239
29.3440291
34.6004863

12

13

14

0
0
0
0
0
0.49615049
2.87690687

0
0
0
0
0
0
0.97790466
4.72144993

0
0
0
0
0
0
0
1.9274344
7.4356603

15
0
0
0
0
0
0
0
0
3.79894229
10.9693506

7.87105787
14.2944371
20.6751071
26.5801896
32.045133
37.1027434

10.9323781
17.5661238
23.7054189
29.3871177
34.6453273
39.5116129

14.3325194
20.7153166
26.6223678
32.0891332
37.1484297
41.8306282

17.6053079
23.7466498
29.4302428
34.6902055
39.5581134
44.0631887

Lattice Parameters
Initial Price
100

Option Parameters
Call / Put
1

0.25
23.4%

T (years)
volatility
# Periods
r

Strike

100

10

11.94%
0.00%

Div-Yield
u
d
q
1-q

1.03775
0.96362
53.11%
46.89%

Share
0
10
9
8
7
6
5
4
3
2
1
0

100.00

103.78
96.36

107.69
100.00
92.86

111.76
103.78
96.36
89.48

115.98
107.69
100.00
92.86
86.22

120.36
111.76
103.78
96.36
89.48
83.09

14.17
7.41
2.91
0.74

17.83
10.12
4.40
1.25
0.17

21.84
13.40
6.47
2.08
0.32
0.00

European Option Payoff

0
10
9
8
7
6
5
4
3
2
1
0

6.11

8.28
3.68

10.97
5.29
1.89

124.90
115.98
107.69
100.00
92.86
86.22
80.06

129.62
120.36
111.76
103.78
96.36
89.48
83.09
77.15

134.51
124.90
115.98
107.69
100.00
92.86
86.22
80.06
74.34

139.59
129.62
120.36
111.76
103.78
96.36
89.48
83.09
77.15
71.64

30.51
21.25
12.65
5.40
1.14
0.00
0.00
0.00

35.11
25.50
16.57
8.29
2.16
0.00
0.00
0.00
0.00

39.89
29.91
20.66
12.06
4.07
0.00
0.00
0.00
0.00
0.00

26.09
17.17
9.22
3.39
0.60
0.00
0.00

10
144.86
134.51
124.90
115.98
107.69
100.00
92.86
86.22
80.06
74.34
69.03

10
44.86
34.51
24.90
15.98
7.69
0.00
0.00
0.00
0.00
0.00
0.00