Scribd Logo
Upload

Welcome to Scribd!

  • 292 Exercise

    Uploaded by

    RENJiii
    1 views2 pages

    Original Title

    292 exercise.xlsx

    Copyright

    © © All Rights Reserved

    Available Formats

    XLSX, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    1 views2 pages

    292 Exercise

    Uploaded by

    RENJiii

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    Stock Price 100

    Volatility 0.3
    Exercise Pr 103
    Rf 0.04
    t 0.25

    European Call
    u 1.161834
    d 0.860708
    Suu 134.9859
    Su 116.1834
    S 100 Sud 100
    Sd 86.0708
    Sdd 74.08182

    p 0.495779
    1-p 0.504221 max(s-x,0)
    Cuu 31.98588
    Cu 15.70091
    C 7.707109 Cud 0
    Cd 0
    Cdd 0
    S 100
    X 103
    "out-of the money"
    American Call
    u 1.161834
    d 0.860708
    Suu 134.9859
    Su 116.1834
    S 100 Sud 100
    Sd 86.0708
    Sdd 74.08182

    p 0.495779
    max(s-x,0) 1-p 0.504221
    Puu 0
    Pu 1.497687
    P 9.186717 Pud 3
    Pd 16.9292
    Pdd 28.91818
    S 100
    X 103
    "in the money"

    You might also like