Lattice Parameters Option Parameters

Initial Price 100 Strike 100

T (years) 0.25
volatility 23.4%
# Periods 3
R 1.01
u 1.07000
d 0.93458
q 55.70%
1-q 44.30%

Stock-Lattice
122.504
114.490 107.000
107.000 100.000 93.458
100.000 93.458 87.344 81.630

t=0 t=1 t=2 t=3

Option-Lattice
22.504
15.481 7.000
10.231 3.860 0.000
6.576 2.129 0.000 0.000

t=0 t=1 t=2 t=3

 Lattice Parameters Option Parameters
Initial Price 100 Strike 100
T (years) 0.25
volatility 23.4%
# Periods 3
R 1.01
u 1.07000
d 0.93458
q 55.70%
1-q 44.30%

Stock-Lattice
122.50
114.49 107.00
107.00 100.00 93.46
100.00 93.46 87.34 81.63

t=0 t=1 t=2 t=3

Option-Lattice
0.0
0.0 0.0
1.3 2.9 6.5
3.8 7.1 12.7 18.4

t=0 t=1 t=2 t=3

 Lattice Parameters Futures Parameters Option Parameters
Initial Price 100 Expiration 10 Call / Put
T (years) 0.50 Strike
volatility 20.0% Expiration
# Periods 10 Type
r 2.00%
Div-Yield 1.00%
u 1.04574
d 0.95626
q 49.44%
1-q 50.56%

Stock-Lattice

136.8
130.8 125.1
125.1 119.6 114.4
119.6 114.4 109.4 104.6
114.4 109.4 104.6 100.0 95.6
109.4 104.6 100.0 95.6 91.4 87.4
104.6 100.0 95.6 91.4 87.4 83.6 80.0
100.0 95.6 91.4 87.4 83.6 80.0 76.5 73.1

t=0 t=1 t=2 t=3 t=4 t=5 t=6 t=7

Futures-Lattice

137.0
131.0 125.2
125.4 119.8 114.5
119.9 114.6 109.6 104.7
114.8 109.7 104.8 100.2 95.8
109.8 104.9 100.3 95.9 91.6 87.6
105.0 100.4 96.0 91.7 87.7 83.8 80.1
100.50 96.1 91.8 87.8 83.9 80.2 76.6 73.2

t=0 t=1 t=2 t=3 t=4 t=5 t=6 t=7

Option-Lattice

0.0
 0.0 0.0
0.0 0.0 0.0
0.1 0.3 0.6 1.1
0.6 1.1 1.9 3.2 5.3
1.6 2.6 4.0 6.1 8.9 12.4
3.2 4.7 6.7 9.3 12.5 16.1 19.9
5.212 7.2 9.8 12.8 16.2 19.7 23.3 26.7

t=0 t=1 t=2 t=3 t=4 t=5 t=6 t=7

Option Parameters
-1
100
10
European

156.4
149.6 143.0
143.0 136.8 130.8
130.8 125.1 119.6
119.6 114.4 109.4
109.4 104.6 100.0
100.0 95.6 91.4
91.4 87.4 83.6
83.6 80.0 76.5
76.5 73.1 69.9
69.9 66.9 63.9

t=8 t=9 t = 10

156.4
149.6 143.0
143.2 136.8 130.8
130.9 125.1 119.6
119.7 114.4 109.4
109.5 104.6 100.0
100.1 95.7 91.4
91.5 87.5 83.6
83.7 80.0 76.5
76.5 73.2 69.9
70.0 66.9 63.9

t=8 t=9 t = 10

0.0
0.0 0.0
0.0 0.0 0.0
0.0 0.0 0.0
 0.0 0.0 0.0
0.0 0.0 0.0
2.2 4.3 8.6
8.4 12.5 16.4
16.3 20.0 23.5
23.4 26.8 30.1
29.9 33.1 36.1

t=8 t=9 t = 10
 Lattice Parameters Option Parameters
Initial Price 100 Call / Put 1
T (years) 0.25 Strike 100
volatility 23.4%
# Periods 10
r 11.94%
Div-Yield 0.00%
u 1.03775
d 0.96362
q 53.11%
1-q 46.89%

Share
0 1 2 3 4 5 6 7 8
10
9
8 134.51
7 129.62 124.90
6 124.90 120.36 115.98
5 120.36 115.98 111.76 107.69
4 115.98 111.76 107.69 103.78 100.00
3 111.76 107.69 103.78 100.00 96.36 92.86
2 107.69 103.78 100.00 96.36 92.86 89.48 86.22
1 103.78 100.00 96.36 92.86 89.48 86.22 83.09 80.06
0 100.00 96.36 92.86 89.48 86.22 83.09 80.06 77.15 74.34

European Option Payoff

0 1 2 3 4 5 6 7 8
10
9
8 35.11
7 30.51 25.50
6 26.09 21.25 16.57
5 21.84 17.17 12.65 8.29
4 17.83 13.40 9.22 5.40 2.16
3 14.17 10.12 6.47 3.39 1.14 0.00
2 10.97 7.41 4.40 2.08 0.60 0.00 0.00
1 8.28 5.29 2.91 1.25 0.32 0.00 0.00 0.00
0 6.11 3.68 1.89 0.74 0.17 0.00 0.00 0.00 0.00
 9 10
144.86
139.59 134.51
129.62 124.90
120.36 115.98
111.76 107.69
103.78 100.00
96.36 92.86
89.48 86.22
83.09 80.06
77.15 74.34
71.64 69.03

9 10
44.86
39.89 34.51
29.91 24.90
20.66 15.98
12.06 7.69
4.07 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00
0.00 0.00