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  • Modeling Stock Prices with Binomial Trees

    Transféré par

    amitinfo_mishra
    19 vues1 page
    The document provides inputs and outputs for a binomial option pricing model. It lists the annualized standard deviation, riskless rate, dividend yield, and number of periods as inputs. It then shows the up and down movements calculated from those inputs, and the resulting stock price values from 0 to 5 periods into the future.

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    Titre original

    Bs Tobin

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    © Attribution Non-Commercial (BY-NC)

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    The document provides inputs and outputs for a binomial option pricing model. It lists the annualized standard deviation, riskless rate, dividend yield, and number of periods as inputs. It then shows the up and down movements calculated from those inputs, and the resulting stock price values from 0 to 5 periods into the future.

    Droits d'auteur :

    Attribution Non-Commercial (BY-NC)
    Téléchargez comme XLS, PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    19 vues1 page

    Modeling Stock Prices with Binomial Trees

    Transféré par

    amitinfo_mishra
    The document provides inputs and outputs for a binomial option pricing model. It lists the annualized standard deviation, riskless rate, dividend yield, and number of periods as inputs. It then shows the up and down movements calculated from those inputs, and the resulting stock price values from 0 to 5 periods into the future.

    Droits d'auteur :

    Attribution Non-Commercial (BY-NC)
    Téléchargez comme XLS, PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    sur 1

    Inputs to model

    Annualized Standard deviation =


    42%
    Riskless rate =
    5%
    Dividend yield =
    20%
    Number of periods each year =
    1
    Binomial inputs
    Up movement in binomial =
    1.1993743
    Down movement in binomial =
    0.5177825
    Value today
    One period from now
    Two periods from now
    Three periods from now
    Four periods from now
    Five periods from now

    $33.50
    $40.18
    $48.19
    $57.80
    $69.32
    $83.14

    $17.35
    $20.80
    $24.95
    $29.93
    $35.89

    $8.98
    $10.77
    $12.92
    $15.50

    $4.65
    $5.58
    $6.69

    $2.41
    $2.89

    $1.25

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