S0 100 BS Price 5.9872 n = No.

of steps in a Binomial tree

K 100 dt = Length of each step (T/n)
T 0.25
sig 25%
r 8% Continuously compounded rate

For One Step For Two steps For three steps

n 1 n 2 n 3
dt 0.25 dt 0.125 dt 0.083333333
u 1.1331485 u 1.0924123 u 1.074836744
d 0.8824969 d 0.9154053 d 0.930373851
q 0.5493859 q 0.5346957 q 0.528267752

For one-step Binomial Model

Stock Call Option
100 113.31485 7.1701423 13.314845
88.24969 0

Two-steps Binomial Tree Call Option

100 109.24123 119.33646 5.4188153 10.236244 19.336458
91.540531 100 0 0
83.796689 0

Three-Step Binomial Tree Call Option

100 107.48367 115.5274 124.1731 6.3901182 10.337036 16.191852 24.17309715
93.037385 100 107.48367 2.0607841 3.9271156 7.483674362
86.55955 93.037385 0 0
80.532742 0

Ten Step Binomial Tree

100 104.03201 108.22659 112.5903 117.12996 121.85265 126.76576 131.87698 137.1942702
96.124259 100 104.03201 108.22659 112.5903 117.12996 121.85265 126.7657646
92.398731 96.124259 100 104.03201 108.22659 112.5903 117.1299578
88.817595 92.398731 96.124259 100 104.03201 108.2265946
85.375255 88.817595 92.398731 96.124259 100
82.066331 85.375255 88.817595 92.39873097
78.885652 82.066331 85.37525485
75.828248 78.88565205
72.88934141

Call Option
5.8640538 8.1209582 10.969658 14.421105 18.420012 22.847668 27.562573 32.475179 37.59347126
3.4875866 5.124316 7.343636 10.227004 13.786368 17.926766 22.450855 27.16496569
1.7609881 2.7847714 4.306905 6.4831228 9.4391375 13.188507 17.52915889
0.6792539 1.1771659 2.0098317 3.3655617 5.4898887 8.625795682
0.1524255 0.2963134 0.57603 1.1197959 2.176870547
0 0 0 0
0 0 0
0 0
0
ps in a Binomial tree
each step (T/n)

For 10 steps
n 10
dt 0.025
u 1.0403201
d 0.9612426
q 0.5154361

142.72596 148.48069 1
131.87698 137.19427 2
121.85265 126.76576 3
112.5903 117.12996 4
104.03201 108.22659 5
96.124259 100 6
88.817595 92.398731 7
82.066331 85.375255 8
75.828248 78.885652 9
70.064339 72.889341 10
67.348826 11

42.925759 48.480687 1
32.076775 37.19427 2
22.052452 26.765765 3
12.790104 17.129958 4
4.2318118 8.2265946 5
0 0 6
0 0 7
0 0 8
0 0 9
0 0 10
0 11
S0 100 BS Price 4.0071 n = No. of steps in a Binomial tree
K 100 dt = Length of each step (T/n)
T 0.25
sig 25%
r 8% Continuously compounded rate

For One Step For Two steps For three steps

n 1 n 2 n 3
dt 0.25 dt 0.125 dt 0.083333333
u 1.1331485 u 1.0924123 u 1.074836744
d 0.8824969 d 0.9154053 d 0.930373851
q 0.5493859 q 0.5346957 q 0.528267752

For one-step Binomial Model

Stock PUT
100 113.31485 5.1900096 0
88.24969 11.75031

Two-steps Binomial Tree PUT

100 109.24123 119.33646 3.4386827 0 0
91.540531 100 7.4644522 0
83.796689 16.203311

Three-Step Binomial Tree PUT

100 107.48367 115.5274 124.1731 4.4099855 1.5288783 0 0
93.037385 100 107.48367 7.6989152 3.2626662 0
86.55955 93.037385 12.776 6.962614933
80.532742 19.46725797

Ten Step Binomial Tree

100 104.03201 108.22659 112.5903 117.12996 121.85265 126.76576 131.87698 137.1942702
96.124259 100 104.03201 108.22659 112.5903 117.12996 121.85265 126.7657646
92.398731 96.124259 100 104.03201 108.22659 112.5903 117.1299578
88.817595 92.398731 96.124259 100 104.03201 108.2265946
85.375255 88.817595 92.398731 96.124259 100
82.066331 85.375255 88.817595 92.39873097
78.885652 82.066331 85.37525485
75.828248 78.88565205
72.88934141

PUT
3.8839211 2.3050497 1.1557954 0.4405562 0.0972256 0 0 0 0
5.5794312 3.537048 1.9213788 0.8075811 0.2010474 0 0 0
7.7749891 5.2702671 3.1140763 1.4560944 0.4157344 0 0
10.471413 7.5856062 4.8905564 2.5687531 0.8596734 0
13.584342 10.483702 7.3804905 4.3973336 1.777669482
16.938653 13.827937 10.584201 7.202067962
20.317539 17.335466 14.22554408
23.573548 20.71514689
26.71145752
ps in a Binomial tree
each step (T/n)

For 10 steps
n 10
dt 0.025
u 1.0403201
d 0.9612426
q 0.5154361

142.72596 148.48069 1
131.87698 137.19427 2
121.85265 126.76576 3
112.5903 117.12996 4
104.03201 108.22659 5
96.124259 100 6
88.817595 92.398731 7
82.066331 85.375255 8
75.828248 78.885652 9
70.064339 72.889341 10
67.348826 11

0 0 1
0 0 2
 0 0 3
0 0 4
0 0 5
3.6759412 0 6
10.982605 7.601269 7
17.733869 14.624745 8
23.971952 21.114348 9
29.735861 27.110659 10
32.651174 11
S0 100 BS Price 5.9872 n = No. of steps in a Binomial tree
K 100 dt = Length of each step (T/n)
T 0.25
sig 25%
r 8% Continuously compounded rate

For One Step For Two steps For three steps

n 1 n 2 n 3
dt 0.25 dt 0.125 dt 0.083333333
u 1.1331485 u 1.0924123 u 1.074836744
d 0.8824969 d 0.9154053 d 0.930373851
q 0.5493859 q 0.5346957 q 0.528267752

For one-step Binomial Model

Stock Call Option
100 113.31485 7.1701423 13.314845
88.24969 0

Two-steps Binomial Tree Call Option

100 109.24123 119.33646 5.4188153 10.236244 19.336458
91.540531 100 0 0
83.796689 0

Three-Step Binomial Tree Call Option

100 107.48367 115.5274 124.1731 6.3901182 10.337036 16.191852 24.17309715
93.037385 100 107.48367 2.0607841 3.9271156 7.483674362
86.55955 93.037385 0 0
80.532742 0

Ten Step Binomial Tree

100 104.03201 108.22659 112.5903 117.12996 121.85265 126.76576 131.87698 137.1942702
96.124259 100 104.03201 108.22659 112.5903 117.12996 121.85265 126.7657646
92.398731 96.124259 100 104.03201 108.22659 112.5903 117.1299578
88.817595 92.398731 96.124259 100 104.03201 108.2265946
85.375255 88.817595 92.398731 96.124259 100
82.066331 85.375255 88.817595 92.39873097
78.885652 82.066331 85.37525485
75.828248 78.88565205
72.88934141

Call Option
5.8640538 8.1209582 10.969658 14.421105 18.420012 22.847668 27.562573 32.475179 37.59347126
3.4875866 5.124316 7.343636 10.227004 13.786368 17.926766 22.450855 27.16496569
1.7609881 2.7847714 4.306905 6.4831228 9.4391375 13.188507 17.52915889
0.6792539 1.1771659 2.0098317 3.3655617 5.4898887 8.625795682
0.1524255 0.2963134 0.57603 1.1197959 2.176870547
0 0 0 0
0 0 0
0 0
0
ps in a Binomial tree
each step (T/n)

For 10 steps
n 10
dt 0.025
u 1.0403201
d 0.9612426
q 0.5154361

142.72596 148.48069 1
131.87698 137.19427 2
121.85265 126.76576 3
112.5903 117.12996 4
104.03201 108.22659 5
96.124259 100 6
88.817595 92.398731 7
82.066331 85.375255 8
75.828248 78.885652 9
70.064339 72.889341 10
67.348826 11

42.925759 48.480687 1
32.076775 37.19427 2
22.052452 26.765765 3
12.790104 17.129958 4
4.2318118 8.2265946 5
0 0 6
0 0 7
0 0 8
0 0 9
0 0 10
0 11
S0 100 BS Price 4.0071 n = No. of steps in a Binomial tree
K 100 dt = Length of each step (T/n)
T 0.25
sig 25%
r 8% Continuously compounded rate

For One Step For Two steps For three steps

n 1 n 2 n 3
dt 0.25 dt 0.125 dt 0.083333333
u 1.1331485 u 1.0924123 u 1.074836744
d 0.8824969 d 0.9154053 d 0.930373851
q 0.5493859 q 0.5346957 q 0.528267752

For one-step Binomial Model

Stock PUT
100 113.31485 5.1900096 0
88.24969 11.75031

Two-steps Binomial Tree PUT

100 109.24123 119.33646 3.8970614 0 0
91.540531 100 8.4594688 0
83.796689 16.203311

Three-Step Binomial Tree PUT

100 107.48367 115.5274 124.1731 4.5558879 1.5288783 0 0
93.037385 100 107.48367 8.0102747 3.2626662 0
86.55955 93.037385 13.44045 6.962614933
80.532742 19.46725797

Ten Step Binomial Tree

100 104.03201 108.22659 112.5903 117.12996 121.85265 126.76576 131.87698 137.1942702
96.124259 100 104.03201 108.22659 112.5903 117.12996 121.85265 126.7657646
92.398731 96.124259 100 104.03201 108.22659 112.5903 117.1299578
88.817595 92.398731 96.124259 100 104.03201 108.2265946
85.375255 88.817595 92.398731 96.124259 100
82.066331 85.375255 88.817595 92.39873097
78.885652 82.066331 85.37525485
75.828248 78.88565205
72.88934141

PUT
4.1284892 2.4393917 1.2197498 0.4647068 0.1025102 0 0 0 0
5.9422585 3.7468171 2.0279371 0.8518994 0.211975 0 0 0
8.3021252 5.5906894 3.2872803 1.536114 0.438331 0 0
11.220611 8.0639501 5.1635974 2.7101847 0.9063996 0
14.624745 11.182405 7.794654 4.6400888 1.874291973
17.933669 14.624745 11.182405 7.601269028
21.114348 17.933669 14.62474515
24.171752 21.11434795
27.11065859
ps in a Binomial tree
each step (T/n)

For 10 steps
n 10
dt 0.025
u 1.0403201
d 0.9612426
q 0.5154361

142.72596 148.48069 1
131.87698 137.19427 2
121.85265 126.76576 3
112.5903 117.12996 4
104.03201 108.22659 5
96.124259 100 6
88.817595 92.398731 7
82.066331 85.375255 8
75.828248 78.885652 9
70.064339 72.889341 10
67.348826 11

0 0 1
0 0 2
 0 0 3
0 0 4
0 0 5
3.8757414 0 6
11.182405 7.601269 7
17.933669 14.624745 8
24.171752 21.114348 9
29.935661 27.110659 10
32.651174 11
S 100
K 100
r 8%
T 0.25
sig 25%

d1 0.2225
d2 0.0975

N(d1) 0.588038 -N(-d1) -0.411962 N(d1)-1 -0.411962

N(d2) 0.538835 -N(-d2) -0.461165 N(d2)-1 -0.461165

C 5.987198
P 4.007066
P
S 17,577.50 17,577.50 17,577.50 17,577.50 17,577.50 17,577.50 17,577.50
K 17200 17300 17400 17500 17600 17700 17800
C 703.95 635.25 565.45 494 441.95 373.85 323
T 0.10136986 0.10136986 0.10136986 0.10136986 0.10136986 0.10136986 0.10136986
r 5.52% 5.52% 5.52% 5.52% 5.52% 5.52% 5.52%
sig (implied 19.35% 19.11% 19.35% 19.35% 19.35% 19.35% 19.35%
d1 0.47412025 0.38386108 0.28642521 0.19338519 0.10087531 0.00888957 -0.08257794
d2 0.4125266 0.32300426 0.22483156 0.13179154 0.03928166 -0.05270408 -0.14417159
N(d1) 0.68229292 0.64945929 0.61272377 0.57667134 0.54017528 0.50354638 0.46709357
N(d2) 0.66002326 0.62665399 0.58894484 0.55242541 0.51566708 0.47898384 0.44268249
C 703.950084 635.25 579.693447 522.940091 469.83279 420.379661 374.557892
diff -8.416E-05 2.56077E-08 -14.243447 -28.9400913 -27.8827901 -46.529661 -51.5578919
 17,577.50 17,577.50 Today 23-Aug-22 At close of Market
17900 18000 Expiry 29-Sep-22
274 228 Time 0.10136986301
0.10136986 0.101369863
5.52% 5.52%
19.35% 19.35%
-0.17353303 -0.2639814
-0.23512668 -0.32557504
0.43111623 0.395897127
0.40705521 0.372372948
332.314829 293.5697686
-58.3148292 -65.5697686