BINOMIAL OPTION PRICING Multi-Period                                          Call
Inputs
Option Type: 1=Call, 0=Put      ...
($6.20) ($13.53) ($27.59) ($49.61)
         ($2.00)  ($5.50) ($15.06)
                   $0.00    $0.00
                  ...
Maturity
  7           8
1.750       2.000

$116.92    $128.62
$100.98    $111.08
 $87.21     $95.93
 $75.32     $82.85
 $...
($64.68)
($41.28)
  $0.00
  $0.00
  $0.00
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Binomial Option Pricing Multi Period

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Binomial Option Pricing Multi Period

  1. 1. BINOMIAL OPTION PRICING Multi-Period Call Inputs Option Type: 1=Call, 0=Put 1 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 Replicating Portfolio Stock Shares Bought (Sold) 0.487 0.667 0.838 0.958 1.000 1.000 1.000 0.367 0.552 0.758 0.929 1.000 1.000 0.244 0.413 0.644 0.882 1.000 0.130 0.259 0.484 0.803 0.043 0.108 0.269 0.000 0.000 0.000 Money Lent (Borrowed) ($25.32) ($37.28) ($49.93) ($59.71) ($63.72) ($64.03) ($64.35) ($18.60) ($30.26) ($44.66) ($57.86) ($64.03) ($64.35) ($11.99) ($22.16) ($37.36) ($54.74) ($64.35)
  2. 2. ($6.20) ($13.53) ($27.59) ($49.61) ($2.00) ($5.50) ($15.06) $0.00 $0.00 $0.00
  3. 3. 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 1.000 1.000 1.000 1.000 0.671 0.000 0.000 0.000 ($64.68) ($64.68) ($64.68)
  4. 4. ($64.68) ($41.28) $0.00 $0.00 $0.00

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