BINOMIAL OPTION PRICING                               Single Period   Call
Inputs
Option Type: 1=Call, 0=Put             1...
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Binomial Option Pricing Single Period

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Transcript of "Binomial Option Pricing Single Period"

  1. 1. BINOMIAL OPTION PRICING Single Period Call Inputs Option Type: 1=Call, 0=Put 1 Stock Price Now $100.00 Up Movement / Period 30.00% Down Movement / Period -20.00% Riskfree Rate / Period 2.00% Exercise Price $90.00 Time To Maturity (Years) 0.75 Number of Periods 1 Now Maturity Period 0 1 Time 0.000 0.750 Stock $100.00 $130.00 $80.00 Call $17.25 $40.00 $0.00 Replicating Portfolio Stock Shares Bought (Sold) 0.800 Money Lent (Borrowed) ($62.75)

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