NAMA : FIRSTCHO BAGUS MALVIANO

NIM : D111191059

TEKNIK PERTAMBANGAN ; KERLAS B

VALUASI TAMBANG - Changing Strike & Changing Volatility

Cost at year 1 =50 u= eσ√St = 1.3499

1 Cost at year 2 = 150

S = $300 d= = 0.7409
u
RF = 0.07 e(RF)(St)-d
p u-d = 0.57
𝜎 = 0.25

T =3
St = 3/2= 1.5
546.7
S0U2

404.97
S0U
300.0
30 S0Ud
0
S0 222.3
S0d
164.7
S0d2

Binomial Approach – Step I: Lattice Evolution of the Underlying

 Binomial Approach – Step II: Option Valuation Lattice
Maximum betwen Executing the purchase option or 0
Maximum between Executing the purchase option or Keeping the Option Open Executing = 546.7-150 = $396.7
Executing = 222.3-50 = $172.3
Keeping option Open = [P(150.0)+(1-P)(14.7)] exp(-rf*dt)=$84.4

396.7
EXECUTE
354.97 Max [396.7;
EXECUTE 0]
254.1
OPEN 150.
172.3 0
EXECUTE EXECUTE

14.7
EXECUTE
 Changing
Volatility
X = 200

S = 400 u2= eσ√St= e0.30√1.5 = 1.4333

u1= eσ√St = 1.3499
RF = 0.06
1 1 1 1
𝜎1 = 0.25 d1= u = = d2= u = = 0.6977
0.7409
1.3498 1.4333
𝜎2 = 0.30
e(RF)(St) - = e(RF)(St) - = 1.89
T =3 p1
d p2
d
u-d 2.21 u-d
St = 3/2=
1.5

773.9
S0U2
539.96
S0U 424.8
40 S0Ud
0
S0 296.4 376.7
S0d S0d2

206.8
S0d2

Binomial Approach – Step I:

Lattice Evolution of the
Underlying
 Binomial Approach – Step
II: Option Valuation
Lattice

Maximum between Executing the purchase option or Keeping the Option Open
Executing = 296.4-200 = $96.4
Keeping option Open = [P(224.8)+(1-P)(6.8)] exp(-rf*dt)=$454.4

573.9
EXECUTE
Max [573.9;0]
980.7
OPEN 224.8
1504,3 EXECUTE
OPEN 454.4 176.7
Max [1504.3; OPEN EXECUTE
200]

6.8
EXECUTE

Maximum betwen Executing the purchase option or 0

Executing = 773.9-200 = $573.9