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# Chapter 13opciones financieras

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### Chapter 13opciones financieras

1. 1. Chapter 13 Real-Options Analysis Financial Options 13.1 • u = eσ ∆t = e0.3× 0.75 = 1.2967 1 1 • d= = = 0.7712 u 1.2967 • Risk neutral probability er ∆t − d e0.05×0.75 − 0.7712 q= = = 0.5081 u−d 1.2967 − 0.7712 • Tree valuation 100.88 q Max(0, (100.88-60)) = \$40.88 q 77.80 (\$20.01) 1-q 60 60 9.79 q Max(0, (60-60)) = \$0 1-q 46.27 (\$0.00) 1-q 35.68 Max(0, (35.68-60)) = \$0 ∴ European call option value = \$9.79 13.2 • u = eσ ∆t = e0.4× 1 = 1.4918 1 1 • d= = = 0.6703 u 1.4918 • Risk neutral probability e r ∆t − d e0.05 − 0.6703 q= = = 0.4638 u−d 1.4918 − 0.6703 1 − q = 0.5362 Contemporary Engineering Economics, Fourth Edition, by Chan S. Park. ISBN 0-13-187628-7. © 2007 Pearson Education, Inc., Upper Saddle River, NJ. All rights reserved. This material is protected by Copyright and written permission should beobtained from the publisher prior to any prohibited reproduction, storage in a retrieval system, or transmission in any form or by means, electronic, mechanical, photocopying, recording, or likewise. For information regarding permission(s), write to: Rights and Permissions Department, Pearson Education, Inc., Upper Saddle River, NJ 07458.