Scribd Logo
Upload

Welcome to Scribd!

  • Bstobin

    Uploaded by

    Antariksh Shahwal
    35 views2 pages
    This document provides inputs for a binomial options pricing model including an annualized standard deviation of 42%, a riskless rate of 5%, and a dividend yield of 20%. The model has 1 period per year, with an up movement of 1.1993743 and a down movement of 0.5177825. The value today is $33.50, and the model traces out values one to five periods in the future under the up and down movements.

    Original Description:

    Original Title

    bstobin.xls

    Copyright

    © © All Rights Reserved

    Available Formats

    XLS, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Report this Document
    This document provides inputs for a binomial options pricing model including an annualized standard deviation of 42%, a riskless rate of 5%, and a dividend yield of 20%. The model has 1 period per year, with an up movement of 1.1993743 and a down movement of 0.5177825. The value today is $33.50, and the model traces out values one to five periods in the future under the up and down movements.

    Copyright:

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

    Bstobin

    Uploaded by

    Antariksh Shahwal
    This document provides inputs for a binomial options pricing model including an annualized standard deviation of 42%, a riskless rate of 5%, and a dividend yield of 20%. The model has 1 period per year, with an up movement of 1.1993743 and a down movement of 0.5177825. The value today is $33.50, and the model traces out values one to five periods in the future under the up and down movements.

    Copyright:

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

    Inputs to model

    Annualized Standard deviation 42%


    Riskless rate = 5%
    Dividend yield = 20%
    Number of periods each year = 1
    Binomial inputs
    Up movement in binomial = 1.1993743
    Down movement in binomial = 0.5177825

    Value today $33.50


    One period from now $40.18 $17.35
    Two periods from now $48.19 $20.80 $8.98
    Three periods from now $57.80 $24.95 $10.77 $4.65
    Four periods from now $69.32 $29.93 $12.92 $5.58 $2.41
    Five periods from now $83.14 $35.89 $15.50 $6.69 $2.89
    $1.25

    You might also like