Binomial Option Pricing Risk Neutral

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Binomial Option Pricing Risk Neutral

  1. 1. BINOMIAL OPTION PRICING Risk Neutral Call Inputs Outputs Option Type: 1=Call, 0=Put 1 Risk Neutral Probability 36.67% Stock Price Now $60.00 Up Movement / Period 10.00% Down Movement / Period -5.00% Riskfree Rate / Period 0.50% Exercise Price $65.00 Time To Maturity (Years) 2.00 Number of Periods 8 Now Period 0 1 2 3 4 5 6 Time 0.000 0.250 0.500 0.750 1.000 1.250 1.500 Stock $60.00 $66.00 $72.60 $79.86 $87.85 $96.63 $106.29 $57.00 $62.70 $68.97 $75.87 $83.45 $91.80 $54.15 $59.57 $65.52 $72.07 $79.28 $51.44 $56.59 $62.25 $68.47 $48.87 $53.76 $59.13 $46.43 $51.07 $44.11 Call $3.93 $6.73 $10.94 $16.78 $24.13 $32.60 $41.94 $2.34 $4.34 $7.65 $12.66 $19.42 $27.44 $1.20 $2.46 $4.81 $8.84 $14.93 $0.48 $1.12 $2.52 $5.39 $0.12 $0.32 $0.87 $0.00 $0.00 $0.00
  2. 2. Maturity 7 8 1.750 2.000 $116.92 $128.62 $100.98 $111.08 $87.21 $95.93 $75.32 $82.85 $65.05 $71.55 $56.18 $61.79 $48.52 $53.37 $41.90 $46.09 $39.81 $52.25 $63.62 $36.30 $46.08 $22.53 $30.93 $10.64 $17.85 $2.39 $6.55 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

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