course ra

12
Lattice Parameters Futures Parameters Initial Price 100 Expiration 15 T (years) 0.25 volatility 30.0% # Periods 15 r 2.00% Div-Yield 1.00% u 1.03949 d 0.96201 q 49.25% 1-q 50.75% Stock-Lattice 121.37 116.76 112.32 112.32 108.05 103.95 108.05 103.95 100.00 96.20 103.95 100.00 96.20 92.55 89.03 100.00 96.20 92.55 89.03 85.65 82.39 t = 0 t = 1 t = 2 t = 3 t = 4 t = 5 Futures-Lattice 121.6 117.0 112.5 112.55 108.25 104.12

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Page 1: Course Ra

Lattice Parameters Futures ParametersInitial Price 100 Expiration 15

T (years) 0.25volatility 30.0%# Periods 15

r 2.00%Div-Yield 1.00%

u 1.03949d 0.96201q 49.25%

1-q 50.75%

Stock-Lattice

121.37116.76 112.32

112.32 108.05 103.95108.05 103.95 100.00 96.20

103.95 100.00 96.20 92.55 89.03100.00 96.20 92.55 89.03 85.65 82.39

t = 0 t = 1 t = 2 t = 3 t = 4 t = 5

Futures-Lattice

121.6117.0 112.5

112.55 108.25 104.12

Page 2: Course Ra

108.29 104.16 100.18 96.36104.19 100.22 96.39 92.72 89.18

100.25 96.43 92.75 89.21 85.81 82.53

t = 0 t = 1 t = 2 t = 3 t = 4 t = 5

American Option-Lattice

13.210.0 6.8

7.3 4.8 2.95.3 3.3 1.9 0.9

3.8 2.2 1.2 0.6 0.22.604 1.5 0.8 0.3 0.1 0.0

t = 0 t = 1 t = 2 t = 3 t = 4 t = 5

Page 3: Course Ra

Option ParametersCall / Put 1

Strike 110

Expiration 15Type American

159.16153.12 147.30

147.30 141.70 136.32141.70 136.32 131.14 126.16

136.32 131.14 126.16 121.37 116.76131.14 126.16 121.37 116.76 112.32 108.05

126.16 121.37 116.76 112.32 108.05 103.95 100.00116.76 112.32 108.05 103.95 100.00 96.20 92.55108.05 103.95 100.00 96.20 92.55 89.03 85.65100.00 96.20 92.55 89.03 85.65 82.39 79.2692.55 89.03 85.65 82.39 79.26 76.25 73.3685.65 82.39 79.26 76.25 73.36 70.57 67.8979.26 76.25 73.36 70.57 67.89 65.31 62.83

t = 6 t = 7 t = 8 t = 9 t = 10 t = 11 t = 12

159.24153.22 147.37

147.42 141.80 136.39141.8 136.43 131.23 126.22

136.5 131.3 126.26 121.45 116.81131.3 126.3 121.5 116.85 112.40 108.11

126.3 121.5 116.9 112.4 108.14 104.02 100.05116.9 112.5 108.2 104.1 100.08 96.27 92.59108.2 104.1 100.1 96.3 92.62 89.09 85.69

100.15 96.33 92.65 89.12 85.72 82.45 79.30

Page 4: Course Ra

92.69 89.15 85.75 82.48 79.33 76.30 73.3985.78 82.50 79.36 76.33 73.42 70.62 67.9279.38 76.36 73.44 70.64 67.95 65.35 62.86

t = 6 t = 7 t = 8 t = 9 t = 10 t = 11 t = 12

49.243.2 37.3

37.4 31.8 26.431.8 26.4 21.2 16.2

26.5 21.3 16.4 11.8 7.621.5 16.7 12.3 8.3 4.9 2.2

17.1 12.8 8.9 5.6 3.0 1.2 0.39.5 6.3 3.7 1.8 0.7 0.1 0.04.3 2.4 1.1 0.4 0.1 0.0 0.01.5 0.6 0.2 0.0 0.0 0.0 0.00.4 0.1 0.0 0.0 0.0 0.0 0.00.1 0.0 0.0 0.0 0.0 0.0 0.00.0 0.0 0.0 0.0 0.0 0.0 0.0

t = 6 t = 7 t = 8 t = 9 t = 10 t = 11 t = 12

Page 5: Course Ra

Lattice ParametersInitial Price 100

T (years) 0.25volatility 30.0%# Periods 15

r 2.00%Div-Yield 1.00%

u 1.03949d 0.96201q 49.25%

1-q 50.75%

178.77 Stock-Lattice171.98 165.45

165.45 159.16 153.12153.12 147.30 141.70141.70 136.32 131.14131.14 126.16 121.37121.37 116.76 112.32112.32 108.05 103.95103.95 100.00 96.2096.20 92.55 89.0389.03 85.65 82.3982.39 79.26 76.2576.25 73.36 70.5770.57 67.89 65.3165.31 62.83 60.4460.44 58.15 55.94 100.00

t = 13 t = 14 t = 15 t = 0

178.77172.01 165.45 Futures-Lattice

165.50 159.19 153.12153.17 147.32 141.70141.75 136.34 131.14131.19 126.18 121.37121.41 116.78 112.32112.36 108.07 103.95103.98 100.02 96.2096.23 92.56 89.0389.06 85.66 82.3982.42 79.28 76.2576.28 73.37 70.57

Page 6: Course Ra

70.59 67.90 65.3165.33 62.84 60.4460.46 58.16 55.94 100.25

t = 13 t = 14 t = 15 t = 0

68.7762.0 55.45 European Option-Lattice

55.5 49.2 43.1243.1 37.3 31.7031.7 26.3 21.1421.2 16.2 11.3711.4 6.8 2.323.9 1.1 0.000.6 0.0 0.000.0 0.0 0.000.0 0.0 0.000.0 0.0 0.000.0 0.0 0.000.0 0.0 0.000.0 0.0 0.000.0 0.0 0.00 0.000

t = 13 t = 14 t = 15 t = 0

Page 7: Course Ra

Futures Parameters Option ParametersExpiration 15 Call / Put

Strike

ExpirationType

Stock-Lattice

131.14126.16 121.37

121.37 116.76 112.32116.76 112.32 108.05 103.95

112.32 108.05 103.95 100.00 96.20108.05 103.95 100.00 96.20 92.55 89.03

103.95 100.00 96.20 92.55 89.03 85.65 82.3996.20 92.55 89.03 85.65 82.39 79.26 76.25

t = 1 t = 2 t = 3 t = 4 t = 5 t = 6 t = 7

131.3126.3 121.5

121.6 116.9 112.5117.0 112.5 108.2 104.1

112.55 108.25 104.12 100.15 96.33

Page 8: Course Ra

108.29 104.16 100.18 96.36 92.69 89.15104.19 100.22 96.39 92.72 89.18 85.78 82.5096.43 92.75 89.21 85.81 82.53 79.38 76.36

t = 1 t = 2 t = 3 t = 4 t = 5 t = 6 t = 7

European Option-Lattice

21.1416.16 11.37

11.37 6.76 2.326.76 2.32 0.00 0.00

2.32 0.00 0.00 0.00 0.000.00 0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00 0.00 0.000.00 0.00 0.00 0.00 0.00 0.00 0.00

t = 1 t = 2 t = 3 t = 4 t = 5 t = 6 t = 7

Page 9: Course Ra

Option Parameters-1

110

15American

171.98165.45 159.16

159.16 153.12 147.30153.12 147.30 141.70 136.32

147.30 141.70 136.32 131.14 126.16141.70 136.32 131.14 126.16 121.37 116.76

136.32 131.14 126.16 121.37 116.76 112.32 108.05126.16 121.37 116.76 112.32 108.05 103.95 100.00116.76 112.32 108.05 103.95 100.00 96.20 92.55108.05 103.95 100.00 96.20 92.55 89.03 85.65100.00 96.20 92.55 89.03 85.65 82.39 79.2692.55 89.03 85.65 82.39 79.26 76.25 73.3685.65 82.39 79.26 76.25 73.36 70.57 67.8979.26 76.25 73.36 70.57 67.89 65.31 62.8373.36 70.57 67.89 65.31 62.83 60.44 58.15

t = 8 t = 9 t = 10 t = 11 t = 12 t = 13 t = 14

172.01165.50 159.19

159.24 153.17 147.32153.22 147.37 141.75 136.34

147.42 141.80 136.39 131.19 126.18141.8 136.43 131.23 126.22 121.41 116.78

136.5 131.3 126.26 121.45 116.81 112.36 108.07126.3 121.5 116.85 112.40 108.11 103.98 100.02116.9 112.4 108.14 104.02 100.05 96.23 92.56108.2 104.1 100.08 96.27 92.59 89.06 85.66100.1 96.3 92.62 89.09 85.69 82.42 79.2892.65 89.12 85.72 82.45 79.30 76.28 73.37

Page 10: Course Ra

85.75 82.48 79.33 76.30 73.39 70.59 67.9079.36 76.33 73.42 70.62 67.92 65.33 62.8473.44 70.64 67.95 65.35 62.86 60.46 58.16

t = 8 t = 9 t = 10 t = 11 t = 12 t = 13 t = 14

61.9855.45 49.16

49.16 43.12 37.3043.12 37.30 31.70 26.32

37.30 31.70 26.32 21.14 16.1631.70 26.32 21.14 16.16 11.37 6.76

26.32 21.14 16.16 11.37 6.76 2.32 0.0016.16 11.37 6.76 2.32 0.00 0.00 0.006.76 2.32 0.00 0.00 0.00 0.00 0.000.00 0.00 0.00 0.00 0.00 0.00 0.000.00 0.00 0.00 0.00 0.00 0.00 0.000.00 0.00 0.00 0.00 0.00 0.00 0.000.00 0.00 0.00 0.00 0.00 0.00 0.000.00 0.00 0.00 0.00 0.00 0.00 0.000.00 0.00 0.00 0.00 0.00 0.00 0.00

t = 8 t = 9 t = 10 t = 11 t = 12 t = 13 t = 14

Page 11: Course Ra

178.77165.45153.12141.70131.14121.37112.32103.9596.2089.0382.3976.2570.5765.3160.4455.94

t = 15

178.77165.45153.12141.70131.14121.37112.32103.9596.2089.0382.3976.2570.57

Page 12: Course Ra

65.3160.4455.94

t = 15

68.7755.4543.1231.7021.1411.372.320.000.000.000.000.000.000.000.000.00

t = 15