文档介绍:TWO-DATE BINOMIAL OPTION PRICING
Up 10%
Down -3%
Initial stock price 50
Interest rate 6%
Exercise price 50
Stock price Bond price
55 <-- =$B$12*(1+B3) <-- =$G$12*(1+$B$7)
50 1
<-- =$B$12*(1+B4) <-- =$G$12*(1+$B$7)
Call option
5 <-- =MAX(D11-$B$8,0)
???
0 <-- =MAX(D13-$B$8,0)
A <-- =(D16-D18)/(B12*(B3-B4))
B - <-- =((1+B3)*D18-(1+B4)*D16)/((1+B7)*(B3-B4))
Call price <-- =C21*B6+C23
Check: confirm that state prices
State prices actually price the stock and the bond
qu <-- =(B7-B4)/((1+B7)*(B3-B4)) <-- =1/(B29+B30)
qd <-- =(B3-B7)/((1+B7)*(B3-B4)) 50 <-- =B29*D11+B30*D13
Pricing a put and call using the state prices
Solving for the portfolio parameters: A is the number of shares and B is the number of bonds.
55*A + 108*B = 5
*A + 108*B = 0
or:
A*stock*(1+up)+B*(1+interest)=max(stock*(1+up)-X,0)
A*stock*(1+down)+B*(1+interest)=max(stock*(1+down)-X,0)
The solution is:
check on state prices
call price
TWO-DATE BINOMIAL OPTION PRICING
Up 10%
Down -3%
Initial stock price 50
Interest rate 6%
Exercise price 50
Stock price Bond price
55 <-- =$B$12*(1+B3) <-- =$G$12*(1+$B$7)
50 1
<-- =$B$12*(1+B4) <-- =$G$12*(1+$B$7)
Call option
5 <-- =MAX(D11-$B$8,0)
???
0 <-- =MAX(D13-$B$8,0)
A <-- =(D16-D18)/(B12*(B3-B4))
B - <-- =((1+B3)*D18-(1+B4)*D16)/((1+B7)*(B3-B4))
Call price <-- =C21*B6+C23
Check: confirm that state prices
State prices actually price the stock and the bond
qu <-- =(B7-B4)/((1+B7)*(B3-B4)) <-- =1/(B29+B30)
qd <-- =(B3-B7)/((1+B7)*(B3-B4)) 50 <-- =B29*D11+B30*D13
Pricing a put and call using the state prices
Solving for the portfolio parameters: A is the number of shares and B is the number of bonds.
55*A +