Spot Price S0 100

Strike Price K 90
Volatility (Annual) 25% Vol/period 0.176776695
Risk Free rate (Annual) 10% Rf per period 0.05
Time to expiry (Years) 0.50
Delta t 0.5
n(No.of periods) 1

t 0 1 2 3 4 5

2.813749265 242.0280582
178.628895
202.8114982
142.6044788
169.9493195 169.9493195
112.9306398 106.8134377
142.4119019 142.4119019
88.65050637 82.86751201
119.3364579 119.3364579 119.3364579
100 63.57055231 57.54766193
100 100 100
57.09132197 48.2159595 42.75493395
83.79668856 83.79668856 83.79668856
0 31.34941572 26.03153078
70.21885013 70.21885013
22.70295204 18.24812783
58.84107115 58.84107115
12.63463432 8.90412433
49.30686914
5.828142178
41.31752357
1.958001997
 u 1.193364579
d 0.837966886
p 0.600184566
q 0.399815434
Call price 57.09132197 42.70197017

6 7 8 9 10 11 12
834.2144716
744.2144716
699.0441027
613.4334545
585.7758096 585.7758096
504.340442 495.7758096
490.8607308 490.8607308
413.397013 405.2500826
411.3250379 411.3250379 411.3250379
337.6392701 329.8896703 321.3250379
344.676761 344.676761 344.676761
274.5846905 267.2130431 259.0661127
288.8277119 288.8277119 288.8277119 288.8277119
222.154072 215.1419441 207.3923443 198.8277119
242.0280582 242.0280582 242.0280582
171.9359877 164.5643403 156.41741
202.8114982 202.8114982 202.8114982 202.8114982
136.1977161 129.1257304 121.3761305 112.8114982
169.9493195 169.9493195 169.9493195
100.0146385 92.4856016 84.33867127
142.4119019 142.4119019 142.4119019 142.4119019
76.40053391 69.13997264 60.97653432 52.41190195
119.3364579 119.3364579 119.3364579
50.74949317 42.9608832 33.72580974
100 100 100 100
36.62633082 29.6505083 21.42578612 10
83.79668856 83.79668856 83.79668856
20.12213569 13.47187442 5.709132197
70.21885013 70.21885013 70.21885013 70.21885013
13.46530667 8.398980867 3.259419044 0
58.84107115 58.84107115 58.84107115
5.199130014 1.860845421 0
49.30686914 49.30686914 49.30686914 49.30686914
3.198924293 1.062381251 0 0
41.31752357 41.31752357 41.31752357
 0.6065275 0 0
34.62271655 34.62271655 34.62271655 34.62271655
0.346274568 0 0 0
29.01268995 29.01268995 29.01268995
0 0 0
24.31167344 24.31167344 24.31167344
0 0 0
20.37237728 20.37237728
0 0
17.07137754 17.07137754
0 0
14.30524907
0
11.98732501
0
Spot Price S0 210
Strike Price K 200
Volatility (Annual) 30% Vol/period 0.08660254038
Risk Free rate (Annual) 5% Rf per period 0.00416666667
Time to expiry (Years) 0.16666666667
Delta t 0.08333333333
n(no of periods) 2

t 0 1 2 3 4

296.936316197
0.87378074118
272.302927832
2.52374403203
249.713088166 249.713088166
0 4.2110631833
228.997267483 228.997267483
0 8.44524681448
210 210 210
5.74432899332 0 12.7918151427
192.578717138 192.578717138
11.5931840955 20.2529328461
176.602677593 176.602677593
23.3973224075 27.9571605565
161.951986161
37.7387988608
148.516693966
47.933034669
 u 1.09046317849
d 0.91704151018
p 0.5024392278
q 0.4975607722
Put price 5.74432899332

5 6 7 8 9 10

499.2629618
0
457.844860466
0
419.862742269 419.862742269
0 0
385.031563239 385.031563239
0 0
353.08992622 353.08992622 353.08992622
0 0 0
323.79811917 323.79811917 323.79811917
0.17156242223 0 0
296.936316197 296.936316197 296.936316197
0.34624666293 0 0
272.302927832 272.302927832 272.302927832
1.59021659864 0.69879376869 0
249.713088166 249.713088166 249.713088166
2.85972789224 1.41030306839 0
228.997267483 228.997267483 228.997267483
6.8929442932 5.0658472753 2.84626857572
210 210 210
11.0235485689 8.79974400677 5.74432899332
192.578717138 192.578717138 192.578717138
18.85586743 17.1321694314 14.8854361683
176.602677593 176.602677593 176.602677593
26.9232121365 25.6900594357 24.2410830251
161.951986161 161.951986161 161.951986161
37.3822964246 37.0361838604 36.8162014245
148.516693966 148.516693966 148.516693966
48.2576287544 48.8043490697 49.8235645618
136.195973321 136.195973321 136.195973321
58.9894577742 59.9940584979 61.3195867773
124.897361055 124.897361055 124.897361055
70.3215289126 71.7969297092 73.4428974726
114.5360646 114.5360646
81.3403716667 82.9794954993
105.03432565 105.03432565
91.6599651139 93.3059328774
96.3208366152
101.194723484
88.3302054714
110.010053056
 11 12
593.678552371
0
544.427876227
0
499.2629618
0
457.844860466
0
419.862742269
0
385.031563239
0
353.08992622
0
323.79811917
0
296.936316197
0
272.302927832
0
249.713088166
0
228.997267483
0
210
0
192.578717138
11.5931840955
176.602677593
23.3973224075
161.951986161
37.2164142077
148.516693966
51.483306034
136.195973321
62.9724270475
124.897361055
75.1026389448
114.5360646
84.6323357695
105.03432565
94.9656743496
96.3208366152
102.847563754
88.3302054714
111.669794529
81.00246502
118.165935349
74.2826228502
125.71737715
Spot Price S0 100
Strike Price K 100
Volatility (Annual) 25% Vol/period
Risk Free rate (Annual) 5% Rf per period
Time to expiry (Years) 0.25
Delta t 0.020833333
N 12

t 0 1

Spot price
Call value
IV value
Spot price 103.6743335
Call value 7.512423213
 IV value 3.674333546
Spot price 100 Spot price
Call value 5.495902045 Call value
IV value 0 IV value
Spot price 96.45588892
Call value 3.446781143
IV value 0
Spot price
Call value
IV value
0.036084392
0.001041667

2 3 4 5

Spot price 119.7722647

Call value 20.54881432
IV value 19.77226465
Spot price 115.5274025
Call value 16.60709131
IV value 15.52740254
Spot price 111.4329831 Spot price 111.4329831
Call value 13.0762617 Call value 12.61400244
IV value 11.43298307 IV value 11.43298307
107.4836744 Spot price 107.4836744
10.03425756 Call value 9.495628327
7.483674362 IV value 7.483674362
Spot price 103.6743335 Spot price 103.6743335
Call value 6.946749323 Call value 6.328941858
 IV value 3.674333546 IV value 3.674333546
100 Spot price 100
4.951167292 Call value 4.356664191
0 IV value 0
Spot price 96.45588892 Spot price 96.45588892
Call value 2.922296399 Call value 2.350355482
IV value 0 IV value 0
93.03738507 Spot price 93.03738507
1.916697872 Call value 1.462660331
0 IV value 0
Spot price 89.74003679 Spot price 89.74003679
Call value 0.893106143 Call value 0.55859841
IV value 0 IV value 0
Spot price 86.5595502
Call value 0.312955303
IV value 0
Spot price 83.49178359
Call value 0.062589752
IV value 0
 u 1.036743335
d 0.964558889
p 0.505418024
q 0.494581976
Call price 5.495902045

6 7 8

Spot price
Call value
IV value
Spot price 133.4658074
Call value 33.8816072
IV value 33.46580739
Spot price 128.7356309 Spot price
Call value 29.25511026 Call value
IV value 28.73563091 IV value
Spot price 124.1730971 Spot price 124.1730971
Call value 24.79614809 Call value 24.58889697
IV value 24.17309715 IV value 24.17309715
Spot price 119.7722647 Spot price
Call value 20.291744 Call value
IV value 19.77226465 IV value
Spot price 115.5274025 Spot price 115.5274025
Call value 16.2517251 Call value 15.94320236
IV value 15.52740254 IV value 15.52740254
Spot price 111.4329831 Spot price
Call value 12.15743787 Call value
IV value 11.43298307 IV value
Spot price 107.4836744 Spot price 107.4836744
Call value 8.923159958 Call value 8.314347928
IV value 7.483674362 IV value 7.483674362
Spot price 103.6743335 Spot price
Call value 5.636823965 Call value
 IV value 3.674333546 IV value
Spot price 100 Spot price 100
Call value 3.691222395 Call value 2.912514979
IV value 0 IV value 0
Spot price 96.45588892 Spot price
Call value 1.710771988 Call value
IV value 0 IV value
Spot price 93.03738507 Spot price 93.03738507
Call value 0.985063626 Call value 0.486304428
IV value 0 IV value 0
Spot price 89.74003679 Spot price
Call value 0.245531128 Call value
IV value 0 IV value
Spot price 86.5595502 Spot price 86.5595502
Call value 0.123966659 Call value 0
IV value 0 IV value 0
Spot price 83.49178359 Spot price
Call value 0 Call value
IV value 0 IV value
Spot price 80.53274203 Spot price 80.53274203
Call value 0 Call value 0
IV value 0 IV value 0
Spot price 77.6785722 Spot price
Call value 0 Call value
IV value 0 IV value
Spot price 74.92555731
Call value 0
IV value 0
Spot price
Call value
IV value
 9 10 11 12
Spot price 154.1895806
Call value 54.18958056
IV value 54.18958056
Spot price 148.7249305
Call value 48.82904297
IV value 48.72493054
Spot price 143.4539538 Spot price 143.4539538
Call value 43.66207027 Call value 43.4539538
IV value 43.4539538 IV value 43.4539538
138.3697863 Spot price 138.3697863
38.68179855 Call value 38.47389875
38.36978632 IV value 38.36978632
Spot price 133.4658074 Spot price 133.4658074
Call value 33.67392386 Call value 33.46580739
IV value 33.46580739 IV value 33.46580739
128.7356309 Spot price 128.7356309
29.04764314 Call value 28.83974335
28.73563091 IV value 28.73563091
Spot price 124.1730971 Spot price 124.1730971
Call value 24.38121362 Call value 24.17309715
IV value 24.17309715 IV value 24.17309715
119.7722647 Spot price 119.7722647
20.08427688 Call value 19.87637708
19.77226465 IV value 19.77226465
Spot price 115.5274025 Spot price 115.5274025
Call value 15.73551901 Call value 15.52740254
IV value 15.52740254 IV value 15.52740254
111.4329831 Spot price 111.4329831
11.74499529 Call value 11.5370955
11.43298307 IV value 11.43298307
Spot price 107.4836744 Spot price 107.4836744
Call value 7.691790832 Call value 7.483674362
IV value 7.483674362 IV value 7.483674362
103.6743335 Spot price 103.6743335
4.826057199 Call value 3.778445978
3.674333546 IV value 3.674333546
Spot price 100 Spot price 100
Call value 1.907706471 Call value 0
IV value 0 IV value 0
96.45588892 Spot price 96.45588892
0.963185395 Call value 0
0 IV value 0
Spot price 93.03738507 Spot price 93.03738507
Call value 0 Call value 0
IV value 0 IV value 0
89.74003679 Spot price 89.74003679
0 Call value 0
0 IV value 0
Spot price 86.5595502 Spot price 86.5595502
Call value 0 Call value 0
IV value 0 IV value 0
83.49178359 Spot price 83.49178359
0 Call value 0 #VALUE!
0 IV value 0 0
Spot price 80.53274203 Spot price 80.53274203
Call value 0 Call value 0
IV value 0 IV value 0
77.6785722 Spot price 77.6785722
0 Call value 0
0 IV value 0
Spot price 74.92555731 Spot price 74.92555731
Call value 0 Call value 0
IV value 0 IV value 0
72.27011233 Spot price 72.27011233
0 Call value 0
0 IV value 0
Spot price 69.70877927 Spot price 69.70877927
Call value 0 Call value 0
IV value 0 IV value 0
Spot price 67.23822269
Call value 0
IV value 0
Spot price 64.85522539
Call value 0
IV value 0
Spot Price S0 100
Strike Price K 100
Volatility (Annual) 25% Vol/period 0.03608439182
Risk Free rate (Annual) 5% Rf per period 0.00104166667
Time to expiry (Years) 0.25
Delta t 0.02083333333
n 12

t 0 1

Spot price
Put Value
IV value
Spot price 103.674333546
Put Value 2.69879600242
 IV value 0
Spot price 100 Spot price
Put Value 4.25368209408 Put Value
IV value 0 IV value
Spot price 96.4558889164
Put Value 5.85159856176
IV value 3.54411108361
Spot price
Put Value
IV value
 u 1.03674333546
d 0.96455888916
p 0.50541802421
q 0.49458197579
Put price 4.25368209408

2 3 4

Spot price
Put Value
IV value
Spot price 115.527402544
Put Value 0.24981803475
IV value 0
Spot price 111.432983066 Spot price
Put Value 0.71015946129 Put Value
IV value 0 IV value
107.483674362 Spot price 107.483674362
1.51432308833 Put Value 1.18208322832
0 IV value 0
Spot price 103.674333546 Spot price
Put Value 2.33929660786 Put Value
 IV value 0 IV value
100 Spot price 100
3.91490718306 Put Value 3.52679345472
0 IV value 0
Spot price 96.4558889164 Spot price
Put Value 5.53328831308 Put Value
IV value 3.54411108361 IV value
93.0373850665 Spot price 93.0373850665
7.84305269737 Put Value 7.5954045281
6.96261493349 IV value 6.96261493349
Spot price 89.7400367905 Spot price
Put Value 10.2199501829 Put Value
IV value 10.2599632095 IV value
Spot price 86.5595502001
Put Value 12.9235343668
IV value 13.4404497999
Spot price
Put Value
IV value
 5 6 7 8 9

Spot price 138.3698

Put Value 0
IV value 0
Spot price 133.4658
Put Value 0
IV value 0
Spot price 128.7356 Spot price 128.7356
Put Value 0 Put Value 0
IV value 0 IV value 0
Spot price 124.1731 Spot price 124.1731
Put Value 2.067E-16 Put Value 0
IV value 0 IV value 0
119.772264651 Spot price 119.7723 Spot price 119.7723
0.05003496991 Put Value 4.184E-16 Put Value 0
0 IV value 0 IV value 0
Spot price 115.5274 Spot price 115.5274
Put Value 0.101272 Put Value 8.468E-16
IV value 0 IV value 0
111.432983066 Spot price 111.433 Spot price 111.433
0.45450467835 Put Value 0.204975 Put Value 1.714E-15
0 IV value 0 IV value 0
Spot price 107.4837 Spot price 107.4837
Put Value 0.816435 Put Value 0.414874
IV value 0 IV value 0
103.674333546 Spot price 103.6743 Spot price 103.6743
1.92809361585 Put Value 1.443011 Put Value 0.839711
 0 IV value 0 IV value 0
Spot price 100 Spot price 100
Put Value 3.068171 Put Value 2.496715
IV value 1.421E-14 IV value 1.421E-14
96.4558889164 Spot price 96.45589 Spot price 96.45589
5.16795186899 Put Value 4.735404 Put Value 4.195284
3.54411108361 IV value 3.544111 IV value 3.544111
Spot price 93.03739 Spot price 93.03739
Put Value 7.324628 Put Value 7.03312
IV value 6.962615 IV value 6.962615
89.7400367905 Spot price 89.74004 Spot price 89.74004
10.0920469235 Put Value 9.986015 Put Value 9.947951
10.2599632095 IV value 10.25996 IV value 10.25996
Spot price 86.55955 Spot price 86.55955
Put Value 12.94137 Put Value 13.02465
IV value 13.44045 IV value 13.44045
83.4917835876 Spot price 83.49178 Spot price 83.49178
15.8442914682 Put Value 15.98874 Put Value 16.1962
16.5082164124 IV value 16.50822 IV value 16.50822
Spot price 80.53274 Spot price 80.53274
Put Value 18.84421 Put Value 19.05146
IV value 19.46726 IV value 19.46726
Spot price 77.67857 Spot price 77.67857
Put Value 21.80195 Put Value 22.00942
IV value 22.32143 IV value 22.32143
Spot price 74.92556
Put Value 24.65864
IV value 25.07444
Spot price 72.27011
Put Value 27.41788
IV value 27.72989
 10 11 12
Spot price 154.1896
Put value 0
IV value 0
Spot price 148.7249305
Put Value 0
IV value 0
Spot price 143.454 Spot price 143.454
Put Value 0 Put value 0
IV value 0 IV value 0
Spot price 138.3697863
Put Value 0
IV value 0
Spot price 133.4658 Spot price 133.4658
Put Value 0 Put value 0
IV value 0 IV value 0
Spot price 128.7356309
Put Value 0
IV value 0
Spot price 124.1731 Spot price 124.1731
Put Value 0 Put value 0
IV value 0 IV value 0
Spot price 119.7722647
Put Value 0
IV value 0
Spot price 115.5274 Spot price 115.5274
Put Value 0 Put value 0
IV value 0 IV value 0
Spot price 111.4329831
Put Value 0
IV value 0
Spot price 107.4837 Spot price 107.4837
Put Value 3.469E-15 Put value 0
IV value 0 IV value 0
Spot price 103.6743335
Put Value 7.02112E-15
 IV value 0
Spot price 100 Spot price 100
Put Value 1.69959 Put value 1.421E-14
IV value 1.421E-14 IV value 1.421E-14
Spot price 96.45588892
Put Value 3.439998652
IV value 3.544111084
Spot price 93.03739 Spot price 93.03739
Put Value 6.754498 Put value 6.962615
IV value 6.962615 IV value 6.962615
Spot price 89.74003679
Put Value 10.15585078
IV value 10.25996321
Spot price 86.55955 Spot price 86.55955
Put Value 13.23233 Put value 13.44045
IV value 13.44045 IV value 13.44045
Spot price 83.49178359
Put Value 16.40410398 #VALUE!
IV value 16.50821641 0
Spot price 80.53274 Spot price 80.53274
Put Value 19.25914 Put value 19.46726
IV value 19.46726 IV value 19.46726
Spot price 77.6785722
Put Value 22.21731537
IV value 22.3214278
Spot price 74.92556 Spot price 74.92556
Put Value 24.86633 Put value 25.07444
IV value 25.07444 IV value 25.07444
Spot price 72.27011233
Put Value 27.62577524
IV value 27.72988767
Spot price 69.70878 Spot price 69.70878
Put Value 30.0831 Put value 30.29122
IV value 30.29122 IV value 30.29122
Spot price 67.23822269
Put Value 32.65766487
IV value 32.76177731
Spot price 64.85523
Put value 35.14477
IV value 35.14477
S 210
K 200
sigma 0.3
t 0.166666667
r 0.05
y

d1 0.527649 11/26/2020
d2 0.405174

N(d1) 0.701128389
N(d2) 0.657325251

Value of Call 16.86290144

Value of Put 5.203159967
So 31
K 30
Rf 10%
T 0.25
p
c 3 1.259297