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  • Binomial

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    Ajay Gansinghani
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    Derivatives

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    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
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    10 views12 pages

    Binomial

    Uploaded by

    Ajay Gansinghani
    Derivatives

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 12

    S 157

    X 150
    r 2%
    T 0.5
    n 5
    t 0.1
    sigma 30%

    u 1.030455
    d 0.970446

    p* 0.525862 S0 f0
    1 - p* 0.474138 157 9.702078
    Suuu f0
    171.7854 22.38416
    Suu f0
    166.7083 17.60564
    Su f0 Suud f0
    161.7814 13.3031 161.7814 12.38016
    Sud f0
    157 8.587348
    Sd f0 Sudd f0
    152.3599 5.749185 152.3599 4.417027
    Sdd f0
    147.857 2.625678
    Sddd f0
    143.4872 0.649994
    Suuuuu f0
    182.408 32.40798
    Suuuu f0
    177.017 27.31671
    Suuuud f0
    171.7854 21.78536
    Suuud f0
    166.7083 17.00804
    Suuudd f0
    161.7814 11.78136
    Suudd f0
    157 7.2997
    Suuddd f0
    152.3599 2.359949
    Suddd f0
    147.857 1.238528
    Sudddd f0
    143.4872 0
    Sdddd f0
    139.2465 0
    Sddddd f0
    135.1312 0
    S 157.00
    X 150.00
    r 2%
    T 0.50
    n 5.00
    t 0.10
    sigma 30%

    u 1.03
    d 0.97 Su
    p* 0.53 161.78
    1-p* 0.47 So F0
    157.00 9.73 Sd
    152.36
    Suuu F0
    171.79 22.42
    Suu F0
    166.71 17.64 Suud F0
    F0 161.78 12.39
    13.34 Sud Fo
    157.00 8.60 Sudd F0
    F0 152.36 4.42
    5.76 sdd F0
    147.86 2.63 Sddd F0
    143.49 0.65
    Suuuuu F0
    182.41 32.41
    Suuuu F0
    177.02 27.34 Suuuud F0
    171.79 21.79
    Suuud F0
    166.71 17.02 Suuudd F0
    161.78 11.78
    Suudd F0
    157.00 7.30 Suuddd F0
    152.36 2.36
    Suddd F0
    147.86 1.24 Sudddd F0
    143.49 0.00
    Sdddd F0
    139.25 0.00 Sddddd F0
    135.13 0.00
    S 167
    X 160
    r 4%
    T 0.2
    n 6
    t 0.1
    sigma 40%

    U 1.040811
    D 0.960789

    p* 0.540088
    1-p* 0.459912 F0
    173.8154 16.97241
    S0 F0
    167 12.15888
    F0
    160.4518 6.585776
    195.9763
    F0
    188.292 29.64604
    F0
    180.9089 22.90066 180.9089
    f0
    173.8154 15.11834
    F0
    180.9089 10.11804 167
    f0
    173.8154 4.316917
    F0
    154.1604 2.485163 167
    F0
    148.1157 0.354318

    142.308
    f0
    203.9743 43.97426
    f0
    36.66698
    f0
    188.292 28.29197
    f0
    21.57303
    f0
    173.8154 13.8154
    f0
    7.639551
    f0
    160.4518 0.451836
    f0
    0.450862
    f0
    160.4518 0.451836
    f0
    0.243057
    f0
    136.728 0
    S 160
    X 155
    r 3%
    T 0.5
    n 5
    t 0.1
    sigma 35%

    U 1.03562
    D 0.965605

    p* 0.534164
    1-p* 0.465836 165.6992 13.16481

    160 9.254094

    154.4969 4.829448
    184.0438

    177.7137 23.64091

    171.6013 18.04046 171.6013

    165.6992 11.7349

    160 7.658941 160

    154.4969 3.034536

    149.183 1.616083 149.183

    144.0519 0

    139.0973
    190.5994 35.59939

    29.50811

    177.7137 22.7137

    17.06561

    165.6992 10.69915

    5.697979

    154.4969 0

    144.0519 0

    134.3131 0

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