chapter17
UN-11CBINOMIAL OPTION PRICING IN A ONE-PERIOD MODELUp, U 1.10Down, D 0.97Initial stock price 50.00Interest rate, R 1.06Exercise price 50.00Stock price Bond price55.00 =M A X (F 1 6 -E 4 ,0 ), n o , y e s )= M A X (q U * F 2 8 + q D * F 3 0 ,M A X (D 1 9 -E 3 ,0 )A B C D E F G H12345678910111213141516171819202122232425262728293031323334353637383940414243444546474849exercise 16.000PV 15.340Illustration-Date 2 & 3 market values 21.10016.0002.9502.0410.0000.0000.000exercise 0.000PV 2.041A B C D E F G H5051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899A B C D E F G H100101102103104105106107108109110111112113114115116117118119120121122123124125126127128129130131132133134135136137138139140141142143144145146147148149150A B C D E F G H151152153154155156157158159160161162163164165166167168169170171172173174175176177178179180181182183184185186187188189190191192193194195196197198199200201A B C D E F G H202203204205206207208209210211212213214215216217218219220221222223224225226227228229230231232233234235236237238239240241242243244245246247248249250251252A B C D E F G H253254255256257258259260261262263264265266267268269270271272273274275276277278279280281282283284285286287288289290291292293294295296297298299300301302303A B C D E F G H304305306307308309310311312313314315316317318319320321322323324325326327328329330331332333334335336337338339340341342343344345346347348349350351352353354A B C D E F G H355356357358359360361362363364365366367368369370371372373374375376377378379380381382383384385386387388389390391392393394395396397398399400401402403404405A B C D E F G H406407408409410411412413414415416417418419420421422423424425426427428429430431432433434435436437438439440441442443444445446447448449450451452453454455456A B C D E F G H457458459460461462463464465466467468469470471472473474475476477478479480481482 =M A X (F 1 6 -E 4 ,0 ), n o , y e s )I J12345678910111213141516171819202122232425262728293031323334353637383940414243444546474849I J457458459460461462463464465466467468469470471472473474475476477478479480481482时间依赖性执行价格初始股票价格 100 执行价格上涨 1.10 日期 1 100下降 0.95 日期 2 105利率 1.06 日期 3 112状态借个qU 0.6918 =M A X (F 1 6 -E 4 ,0 ), n o , y e s )= M A X (q U * F 2 8 + q D * F 3 0 ,M A X (16.0002.9502.0410.0000.0000.000执行 0.000PV 2.041 =M A X (F 1 6 -E 4 ,0 ), n o , y e s
