Lattice Parameters

Initial Price
100
T (years)
0.25
volatility
23.4%
# Periods
3
R
1.01
u
1.07000
d
0.93458
q
55.70%
1-q
44.30%

Option Parameters
Strike
100

Stock-Lattice
122.504
107.000
93.458
81.630

100.000

107.000
93.458

114.490
100.000
87.344

t=0

t=1

t=2

t=3

22.504
7.000
0.000
0.000
t=3

Option-Lattice

6.576

10.231
2.129

15.481
3.860
0.000

t=0

t=1

t=2

Lattice Parameters
Initial Price
100
T (years)
0.25
volatility
23.4%
# Periods
3
R
1.02
u
1.03950
d
0.96200
q
74.84%
1-q
25.16%

Option Parameters
Strike
110

Stock-Lattice
112.32
103.95
96.20
89.03

116.76
108.06
100.00
92.54
85.65
t=4

100.00

103.95
96.20

108.06
100.00
92.54

t=0

t=1

t=2

t=3

0.0
6.0
13.8
21.0
t=3

Option-Lattice

10.0

6.1
13.8

1.9
10.0
17.5

t=0

t=1

t=2

121.4
112.3
104.0
96.2
89.0
82.390575
t=5

126.1673
116.761
108.056
100
92.54459
85.645
79.25981
t=6

131.15095
121.37311
112.32424
103.95
96.200096
89.02798
82.390575
76.248015
t=7

136.3314
126.1673
116.761

t=8

t=9

t = 10

t = 11

t = 12

t = 13

t = 14

t = 15

Lattice Parameters
Initial Price
100
T (years)
0.50
volatility
20.0%
# Periods
10
r
2.00%
Div-Yield
1.00%
u
1.04574
d
0.95626
q
49.44%
1-q
50.56%

Futures Parameters
Expiration
10

Option Parameters
Call / Put
Strike
Expiration
Type

Stock-Lattice

100.0

104.6
95.6

109.4
100.0
91.4

t=0

t=1

t=2

136.8
125.1
114.4
104.6
95.6
87.4
80.0
73.1

125.1
114.4
104.6
95.6
87.4
80.0

130.8
119.6
109.4
100.0
91.4
83.6
76.5

t=5

t=6

t=7

119.9
109.7
100.3
91.7
83.9

125.4
114.6
104.8
95.9
87.7
80.2

131.0
119.8
109.6
100.2
91.6
83.8
76.6

137.0
125.2
114.5
104.7
95.8
87.6
80.1
73.2

t=4

t=5

t=6

t=7

0.0

0.0
0.0

0.0
0.0
0.0

114.4
104.6
95.6
87.4

119.6
109.4
100.0
91.4
83.6

t=3

t=4

Futures-Lattice

100.50

105.0
96.1

109.8
100.4
91.8

114.8
104.9
96.0
87.8

t=0

t=1

t=2

t=3

Option-Lattice

5.212

3.2
7.2

1.6
4.7
9.8

0.6
2.6
6.7
12.8

t=0

t=1

t=2

t=3

0.1
1.1
4.0
9.3
16.2

0.3
1.9
6.1
12.5
19.7

0.6
3.2
8.9
16.1
23.3

1.1
5.3
12.4
19.9
26.7

t=4

t=5

t=6

t=7

Option Parameters
-1
100
10
European

143.0
130.8
119.6
109.4
100.0
91.4
83.6
76.5
69.9

149.6
136.8
125.1
114.4
104.6
95.6
87.4
80.0
73.1
66.9

156.4
143.0
130.8
119.6
109.4
100.0
91.4
83.6
76.5
69.9
63.9

t=8

t=9

t = 10

143.2
130.9
119.7
109.5
100.1
91.5
83.7
76.5
70.0

149.6
136.8
125.1
114.4
104.6
95.7
87.5
80.0
73.2
66.9

156.4
143.0
130.8
119.6
109.4
100.0
91.4
83.6
76.5
69.9
63.9

t=8

t=9

t = 10

0.0
0.0
0.0
0.0

0.0
0.0
0.0
0.0
0.0

0.0
0.0
0.0
0.0
0.0
0.0

2.2
8.4
16.3
23.4
29.9

4.3
12.5
20.0
26.8
33.1

8.6
16.4
23.5
30.1
36.1

t=8

t=9

t = 10

Lattice Parameters
Initial Price
100
T (years)
0.25
volatility
# Periods
r
Div-Yield
u
d
q
1-q

Option Parameters
Call / Put
1
Strike
100

23.4%
10

11.94%
0.00%
1.03775
0.96362
53.11%
46.89%

Share
0
10
9
8
7
6
5
4
3
2
1
0

100.00

European Option Payoff

0
10
9
8
7
6
5
4
3
2
1
0
6.11

103.78
96.36

107.69
100.00
92.86

111.76
103.78
96.36
89.48

115.98
107.69
100.00
92.86
86.22

8.28
3.68

10.97
5.29
1.89

14.17
7.41
2.91
0.74

17.83
10.12
4.40
1.25
0.17

120.36
111.76
103.78
96.36
89.48
83.09

124.90
115.98
107.69
100.00
92.86
86.22
80.06

129.62
120.36
111.76
103.78
96.36
89.48
83.09
77.15

21.84
13.40
6.47
2.08
0.32
0.00

26.09
17.17
9.22
3.39
0.60
0.00
0.00

30.51
21.25
12.65
5.40
1.14
0.00
0.00
0.00

134.51
124.90
115.98
107.69
100.00
92.86
86.22
80.06
74.34

139.59
129.62
120.36
111.76
103.78
96.36
89.48
83.09
77.15
71.64

35.11
25.50
16.57
8.29
2.16
0.00
0.00
0.00
0.00

39.89
29.91
20.66
12.06
4.07
0.00
0.00
0.00
0.00
0.00

10
144.86
134.51
124.90
115.98
107.69
100.00
92.86
86.22
80.06
74.34
69.03

10
44.86
34.51
24.90
15.98
7.69
0.00
0.00
0.00
0.00
0.00
0.00