course ra
DESCRIPTION
optionsTRANSCRIPT
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
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
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
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
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
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
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
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
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
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
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
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