Black-Scholes Model

S
K
rf
t
Sigma
X
0.778

(European Option)
$30
$25
1.05
2.00 yrs
40.0%

N(X)
0.782

Call Value
Put Value

X - (Sigma)*(t)^0.5
0.212

$10.21
$2.88

NETSCAPE

October 30, 1997

Stock Price

Strike Price

N(X-(Sigma)*(t)^0.5)
0.584

P = C - S + K*r^(-t)

Expiration Date

Time to Expiration

(last day of month)

(years)

Call Price

$33.875

$30.00

Nov

0.083

$4.500

$33.875

$35.00

Nov

0.083

$1.563

$33.875

$35.00

Dec

0.167

$2.375

212891829.xlsx.ms_office/Black-Scholes

Dynamic Strategic Planning

Option Valuation

2/22/2014

Implied
Volatility
of Call

Put Price

Implied
Volatility
of Put

$0.813
$2.813
$4.000

212891829.xlsx.ms_office/Black-Scholes

Dynamic Strategic Planning

Option Valuation

2/22/2014

Initial Value
Strike Price
Risk-free Rate
Payout Rate
Volatility (year)
Time interval (year)

Period

S
K
r
d
s
Dt

$30.0
$25.0
5.0%
0.0%
40.0%
0.1667

Up Factor
Down Factor

Up Probability
Down Prob.

u
d
a
p
1-p

Discount Factor

r-d
DF

1.1774
0.8493
1.0084
0.4848
0.5152
5.0%
0.992
4

American Call Option

Tree

12 Periods

10

11

12
212.8929
187.8929

180.8178
156.0253
153.5752
128.9884
130.4371
106.0544
110.7851
86.6047

Stock Price
Option Value

94.0938
70.1141
79.9174
56.1366
67.8768
44.3239
57.6503
34.4236
48.9645
26.2463
41.5873
19.6243
35.3217
14.3840

30.0000
10.3377

41.5873
18.9786
35.3217
13.7123

30.0000
9.6870
25.4801
6.6985

30.0000
8.9801

21.6412
3.9955

21.6412
3.4050
18.3807
2.1207
15.6114
0.9468

30.0000
6.2901

21.6412
2.0215

15.6114
0.5984

21.6412
1.1556

15.6114
0.2671

11.2616
0.0617

21.6412
0.0000
18.3807
0.0000

15.6114
0.0000
13.2593
0.0000

11.2616
0.0000
9.5649
0.0000

30.0000
5.0000
25.4801
2.4038

18.3807
0.5556

13.2593
0.1284

41.5873
16.5873
35.3217
10.5291

25.4801
3.6144

18.3807
1.1083

13.2593
0.3192

41.5873
17.0006

30.0000
7.3211

21.6412
2.7549

57.6503
32.6503
48.9645
24.1720

35.3217
11.3870

25.4801
4.5525

18.3807
1.6302

57.6503
33.0635

41.5873
17.6359

30.0000
8.2005

79.9174
54.9174
67.8768
43.0842

48.9645
24.5817

35.3217
12.2192

25.4801
5.3500

79.9174
55.3306

57.6503
33.4699

41.5873
18.3111

110.7851
85.7851
94.0938
69.3013

67.8768
43.4940

48.9645
25.1017

35.3217
12.9931

25.4801
6.0569

79.9174
55.7370

57.6503
33.9293
48.9645
25.6676

110.7851
86.1983
94.0938
69.7111

67.8768
43.8970

153.5752
128.5752
130.4371
105.6446

15.6114
0.0000
13.2593
0.0000

11.2616
0.0000
9.5649
0.0000

8.1238
0.0000

11.2616
0.0000
9.5649
0.0000

8.1238
0.0000
6.8999
0.0000

8.1238
0.0000
6.8999
0.0000

5.8603
0.0000

5.8603
0.0000
4.9774
0.0000
4.2275
0.0000

p.thorens/212891829.xlsx.ms_office/A. Call Tree (12)

Dynamic Strategic Planning

Option Valuation

2/22/2014

Initial Value
Strike Price
Risk-free Rate
Payout Rate
Volatility (year)
Time interval (year)

S
K
r
d
s
Dt

$30.0
$25.0
5.0%
0.0%
40.0%
0.1667

Up Factor
Down Factor
Up Probability
Down Prob.

u
d
a
p
1-p

Discount Factor

r-d
DF

1.1774
0.8493
1.0084
0.4848
0.5152
5.0%
0.992

American Call Option

Table

12 Periods

Period

10

11

12

Price
Exercise V.
Hold V.
Option V.
Exercise?

30.0000
5.0000
10.3377
10.3377
NO

35.3217
10.3217
14.3840
14.3840
NO

41.5873
16.5873
19.6243
19.6243
NO

48.9645
23.9645
26.2463
26.2463
NO

57.6503
32.6503
34.4236
34.4236
NO

67.8768
42.8768
44.3239
44.3239
NO

79.9174
54.9174
56.1366
56.1366
NO

94.0938
69.0938
70.1141
70.1141
NO

110.7851
85.7851
86.6047
86.6047
NO

130.4371
105.4371
106.0544
106.0544
NO

153.5752
128.5752
128.9884
128.9884
NO

180.8178
155.8178
156.0253
156.0253
NO

212.8929
187.8929
0.0000
187.8929
YES

25.4801
0.4801
6.6985
6.6985
NO

30.0000
5.0000
9.6870
9.6870
NO

35.3217
10.3217
13.7123
13.7123
NO

41.5873
16.5873
18.9786
18.9786
NO

48.9645
23.9645
25.6676
25.6676
NO

57.6503
32.6503
33.9293
33.9293
NO

67.8768
42.8768
43.8970
43.8970
NO

79.9174
54.9174
55.7370
55.7370
NO

94.0938
69.0938
69.7111
69.7111
NO

110.7851
85.7851
86.1983
86.1983
NO

130.4371
105.4371
105.6446
105.6446
NO

153.5752
128.5752
0.0000
128.5752
YES

21.6412
-3.3588
3.9955
3.9955
NO

25.4801
0.4801
6.0569
6.0569
NO

30.0000
5.0000
8.9801
8.9801
NO

35.3217
10.3217
12.9931
12.9931
NO

41.5873
16.5873
18.3111
18.3111
NO

48.9645
23.9645
25.1017
25.1017
NO

57.6503
32.6503
33.4699
33.4699
NO

67.8768
42.8768
43.4940
43.4940
NO

79.9174
54.9174
55.3306
55.3306
NO

94.0938
69.0938
69.3013
69.3013
NO

110.7851
85.7851
0.0000
85.7851
YES

18.3807
-6.6193
2.1207
2.1207
NO

21.6412
-3.3588
3.4050
3.4050
NO

25.4801
0.4801
5.3500
5.3500
NO

30.0000
5.0000
8.2005
8.2005
NO

35.3217
10.3217
12.2192
12.2192
NO

41.5873
16.5873
17.6359
17.6359
NO

48.9645
23.9645
24.5817
24.5817
NO

57.6503
32.6503
33.0635
33.0635
NO

67.8768
42.8768
43.0842
43.0842
NO

79.9174
54.9174
0.0000
54.9174
YES

15.6114
-9.3886
0.9468
0.9468
NO

18.3807
-6.6193
1.6302
1.6302
NO

21.6412
-3.3588
2.7549
2.7549
NO

25.4801
0.4801
4.5525
4.5525
NO

30.0000
5.0000
7.3211
7.3211
NO

35.3217
10.3217
11.3870
11.3870
NO

41.5873
16.5873
17.0006
17.0006
NO

48.9645
23.9645
24.1720
24.1720
NO

57.6503
32.6503
0.0000
32.6503
YES

13.2593
-11.7407
0.3192
0.3192
NO

15.6114
-9.3886
0.5984
0.5984
NO

18.3807
-6.6193
1.1083
1.1083
NO

21.6412
-3.3588
2.0215
2.0215
NO

25.4801
0.4801
3.6144
3.6144
NO

30.0000
5.0000
6.2901
6.2901
NO

35.3217
10.3217
10.5291
10.5291
NO

41.5873
16.5873
0.0000
16.5873
YES

11.2616
-13.7384
0.0617
0.0617
NO

13.2593
-11.7407
0.1284
0.1284
NO

15.6114
-9.3886
0.2671
0.2671
NO

18.3807
-6.6193
0.5556
0.5556
NO

21.6412
-3.3588
1.1556
1.1556
NO

25.4801
0.4801
2.4038
2.4038
NO

30.0000
5.0000
0.0000
5.0000
YES

9.5649
-15.4351
0.0000
0.0000
NO

11.2616
-13.7384
0.0000
0.0000
NO

13.2593
-11.7407
0.0000
0.0000
NO

15.6114
-9.3886
0.0000
0.0000
NO

18.3807
-6.6193
0.0000
0.0000
NO

21.6412
-3.3588
0.0000
0.0000
NO

8.1238
-16.8762
0.0000
0.0000
NO

9.5649
-15.4351
0.0000
0.0000
NO

11.2616
-13.7384
0.0000
0.0000
NO

13.2593
-11.7407
0.0000
0.0000
NO

15.6114
-9.3886
0.0000
0.0000
NO

6.8999
-18.1001
0.0000
0.0000
NO

8.1238
-16.8762
0.0000
0.0000
NO

9.5649
-15.4351
0.0000
0.0000
NO

11.2616
-13.7384
0.0000
0.0000
NO

5.8603
-19.1397
0.0000
0.0000
NO

6.8999
-18.1001
0.0000
0.0000
NO

8.1238
-16.8762
0.0000
0.0000
NO

4.9774
-20.0226
0.0000
0.0000
NO

5.8603
-19.1397
0.0000
0.0000
NO

Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?

p.thorens/212891829.xlsx.ms_office/A. Call (12)

4.2275
-20.7725
0.0000
0.0000
NO

Dynamic Strategic Planning

Option Valuation

2/22/2014

Initial Value
Strike Price
Risk-free Rate
Payout Rate
Volatility (year)
Time interval (year)

S
K
r
d
s
Dt

$30.0
$25.0
5.0%
0.0%
40.0%
0.0833

Up Factor
Down Factor
Up Probability
Down Prob.
Discount Factor

u
d
a
p
1-p
r-d
DF

1.1224
0.8909
1.0042
0.4892
0.5108
5.0%
0.996

American Call Option

Table

24 Periods

Period

10

11

12

13

14

15

16

17

18

19

20

21

22

23

24

Price
Exercise V.
Hold V.
Option V.
Exercise?

30.0000
5.0000
10.2564
10.2564
NO

33.6720
8.6720
13.0747
13.0747
NO

37.7935
12.7935
16.4665
16.4665
NO

42.4195
17.4195
20.4930
20.4930
NO

47.6117
22.6117
25.2126
25.2126
NO

53.4394
28.4394
30.6820
30.6820
NO

59.9804
34.9804
36.9593
36.9593
NO

67.3220
42.3220
44.1082
44.1082
NO

75.5623
50.5623
52.2032
52.2032
NO

84.8112
59.8112
61.3343
61.3343
NO

95.1922
70.1922
71.6105
71.6105
NO

106.8438
81.8438
83.1621
83.1621
NO

119.9216
94.9216
96.1408
96.1408
NO

134.6001
109.6001
110.7201
110.7201
NO

151.0753
126.0753
127.0955
127.0955
NO

169.5670
144.5670
145.4871
145.4871
NO

190.3222
165.3222
166.1418
166.1418
NO

213.6178
188.6178
189.3364
189.3364
NO

239.7648
214.7648
215.3820
215.3820
NO

269.1122
244.1122
244.6276
244.6276
NO

302.0518
277.0518
277.4650
277.4650
NO

339.0232
314.0232
314.3337
314.3337
NO

380.5199
355.5199
355.7274
355.7274
NO

427.0959
402.0959
402.1999
402.1999
NO

479.3728
454.3728
0.0000
454.3728
YES

26.7284
1.7284
7.6410
7.6410
NO

30.0000
5.0000
9.9332
9.9332
NO

33.6720
8.6720
12.7449
12.7449
NO

37.7935
12.7935
16.1405
16.1405
NO

42.4195
17.4195
20.1805
20.1805
NO

47.6117
22.6117
24.9208
24.9208
NO

53.4394
28.4394
30.4146
30.4146
NO

59.9804
34.9804
36.7159
36.7159
NO

67.3220
42.3220
43.8848
43.8848
NO

75.5623
50.5623
51.9938
51.9938
NO

84.8112
59.8112
61.1326
61.1326
NO

95.1922
70.1922
71.4118
71.4118
NO

106.8438
81.8438
82.9638
82.9638
NO

119.9216
94.9216
95.9418
95.9418
NO

134.6001
109.6001
110.5202
110.5202
NO

151.0753
126.0753
126.8949
126.8949
NO

169.5670
144.5670
145.2856
145.2856
NO

190.3222
165.3222
165.9394
165.9394
NO

213.6178
188.6178
189.1332
189.1332
NO

239.7648
214.7648
215.1780
215.1780
NO

269.1122
244.1122
244.4228
244.4228
NO

302.0518
277.0518
277.2592
277.2592
NO

339.0232
314.0232
314.1271
314.1271
NO

380.5199
355.5199
0.0000
355.5199
YES

23.8136
-1.1864
5.5081
5.5081
NO

26.7284
1.7284
7.3215
7.3215
NO

30.0000
5.0000
9.5969
9.5969
NO

33.6720
8.6720
12.4032
12.4032
NO

37.7935
12.7935
15.8055
15.8055
NO

42.4195
17.4195
19.8629
19.8629
NO

47.6117
22.6117
24.6283
24.6283
NO

53.4394
28.4394
30.1502
30.1502
NO

59.9804
34.9804
36.4774
36.4774
NO

67.3220
42.3220
43.6663
43.6663
NO

75.5623
50.5623
51.7875
51.7875
NO

84.8112
59.8112
60.9319
60.9319
NO

95.1922
70.1922
71.2125
71.2125
NO

106.8438
81.8438
82.7639
82.7639
NO

119.9216
94.9216
95.7412
95.7412
NO

134.6001
109.6001
110.3187
110.3187
NO

151.0753
126.0753
126.6925
126.6925
NO

169.5670
144.5670
145.0825
145.0825
NO

190.3222
165.3222
165.7354
165.7354
NO

213.6178
188.6178
188.9283
188.9283
NO

239.7648
214.7648
214.9722
214.9722
NO

269.1122
244.1122
244.2162
244.2162
NO

302.0518
277.0518
0.0000
277.0518
YES

21.2167
-3.7833
3.8164
3.8164
NO

23.8136
-1.1864
5.2021
5.2021
NO

26.7284
1.7284
6.9877
6.9877
NO

30.0000
5.0000
9.2462
9.2462
NO

33.6720
8.6720
12.0488
12.0488
NO

37.7935
12.7935
15.4613
15.4613
NO

42.4195
17.4195
19.5412
19.5412
NO

47.6117
22.6117
24.3368
24.3368
NO

53.4394
28.4394
29.8906
29.8906
NO

59.9804
34.9804
36.2452
36.2452
NO

67.3220
42.3220
43.4530
43.4530
NO

75.5623
50.5623
51.5840
51.5840
NO

84.8112
59.8112
60.7314
60.7314
NO

95.1922
70.1922
71.0118
71.0118
NO

106.8438
81.8438
82.5624
82.5624
NO

119.9216
94.9216
95.5388
95.5388
NO

134.6001
109.6001
110.1155
110.1155
NO

151.0753
126.0753
126.4885
126.4885
NO

169.5670
144.5670
144.8776
144.8776
NO

190.3222
165.3222
165.5296
165.5296
NO

213.6178
188.6178
188.7217
188.7217
NO

239.7648
214.7648
0.0000
214.7648
YES

18.9029
-6.0971
2.5206
2.5206
NO

21.2167
-3.7833
3.5344
3.5344
NO

23.8136
-1.1864
4.8819
4.8819
NO

26.7284
1.7284
6.6377
6.6377
NO

30.0000
5.0000
8.8790
8.8790
NO

33.6720
8.6720
11.6802
11.6802
NO

37.7935
12.7935
15.1080
15.1080
NO

42.4195
17.4195
19.2168
19.2168
NO

47.6117
22.6117
24.0489
24.0489
NO

53.4394
28.4394
29.6384
29.6384
NO

59.9804
34.9804
36.0209
36.0209
NO

67.3220
42.3220
43.2449
43.2449
NO

75.5623
50.5623
51.3819
51.3819
NO

84.8112
59.8112
60.5299
60.5299
NO

95.1922
70.1922
70.8094
70.8094
NO

106.8438
81.8438
82.3592
82.3592
NO

119.9216
94.9216
95.3348
95.3348
NO

134.6001
109.6001
109.9106
109.9106
NO

151.0753
126.0753
126.2827
126.2827
NO

169.5670
144.5670
144.6710
144.6710
NO

190.3222
165.3222
0.0000
165.3222
YES

16.8415
-8.1585
1.5702
1.5702
NO

18.9029
-6.0971
2.2728
2.2728
NO

21.2167
-3.7833
3.2402
3.2402
NO

23.8136
-1.1864
4.5454
4.5454
NO

26.7284
1.7284
6.2687
6.2687
NO

30.0000
5.0000
8.4929
8.4929
NO

33.6720
8.6720
11.2963
11.2963
NO

37.7935
12.7935
14.7460
14.7460
NO

42.4195
17.4195
18.8922
18.8922
NO

47.6117
22.6117
23.7680
23.7680
NO

53.4394
28.4394
29.3967
29.3967
NO

59.9804
34.9804
35.8053
35.8053
NO

67.3220
42.3220
43.0407
43.0407
NO

75.5623
50.5623
51.1796
51.1796
NO

84.8112
59.8112
60.3267
60.3267
NO

95.1922
70.1922
70.6054
70.6054
NO

106.8438
81.8438
82.1544
82.1544
NO

119.9216
94.9216
95.1290
95.1290
NO

134.6001
109.6001
109.7040
109.7040
NO

151.0753
126.0753
0.0000
126.0753
YES

15.0049
-9.9951
0.9100
0.9100
NO

16.8415
-8.1585
1.3649
1.3649
NO

18.9029
-6.0971
2.0167
2.0167
NO

21.2167
-3.7833
2.9320
2.9320
NO

23.8136
-1.1864
4.1897
4.1897
NO

26.7284
1.7284
5.8773
5.8773
NO

30.0000
5.0000
8.0848
8.0848
NO

33.6720
8.6720
10.8957
10.8957
NO

37.7935
12.7935
14.3769
14.3769
NO

42.4195
17.4195
18.5715
18.5715
NO

47.6117
22.6117
23.4993
23.4993
NO

53.4394
28.4394
29.1685
29.1685
NO

59.9804
34.9804
35.5976
35.5976
NO

67.3220
42.3220
42.8375
42.8375
NO

75.5623
50.5623
50.9755
50.9755
NO

84.8112
59.8112
60.1218
60.1218
NO

95.1922
70.1922
70.3997
70.3997
NO

106.8438
81.8438
81.9478
81.9478
NO

119.9216
94.9216
0.0000
94.9216
YES

13.3686
-11.6314
0.4818
0.4818
NO

15.0049
-9.9951
0.7518
0.7518
NO

16.8415
-8.1585
1.1565
1.1565
NO

18.9029
-6.0971
1.7515
1.7515
NO

21.2167
-3.7833
2.6077
2.6077
NO

23.8136
-1.1864
3.8112
3.8112
NO

26.7284
1.7284
5.4588
5.4588
NO

30.0000
5.0000
7.6507
7.6507
NO

33.6720
8.6720
10.4771
10.4771
NO

37.7935
12.7935
14.0039
14.0039
NO

42.4195
17.4195
18.2619
18.2619
NO

47.6117
22.6117
23.2495
23.2495
NO

53.4394
28.4394
28.9548
28.9548
NO

59.9804
34.9804
35.3936
35.3936
NO

67.3220
42.3220
42.6326
42.6326
NO

75.5623
50.5623
50.7698
50.7698
NO

84.8112
59.8112
59.9152
59.9152
NO

95.1922
70.1922
0.0000
70.1922
YES

11.9107
-13.0893
0.2272
0.2272
NO

13.3686
-11.6314
0.3704
0.3704
NO

15.0049
-9.9951
0.5962
0.5962
NO

16.8415
-8.1585
0.9458
0.9458
NO

18.9029
-6.0971
1.4765
1.4765
NO

21.2167
-3.7833
2.2643
2.2643
NO

23.8136
-1.1864
3.4042
3.4042
NO

26.7284
1.7284
5.0063
5.0063
NO

30.0000
5.0000
7.1850
7.1850
NO

33.6720
8.6720
10.0403
10.0403
NO

37.7935
12.7935
13.6345
13.6345
NO

42.4195
17.4195
17.9753
17.9753
NO

47.6117
22.6117
23.0249
23.0249
NO

53.4394
28.4394
28.7499
28.7499
NO

59.9804
34.9804
35.1879
35.1879
NO

67.3220
42.3220
42.4260
42.4260
NO

75.5623
50.5623
0.0000
50.5623
YES

10.6118
-14.3882
0.0918
0.0918
NO

11.9107
-13.0893
0.1572
0.1572
NO

13.3686
-11.6314
0.2662
0.2662
NO

15.0049
-9.9951
0.4452
0.4452
NO

16.8415
-8.1585
0.7340
0.7340
NO

18.9029
-6.0971
1.1911
1.1911
NO

21.2167
-3.7833
1.8976
1.8976
NO

23.8136
-1.1864
2.9606
2.9606
NO

26.7284
1.7284
4.5092
4.5092
NO

30.0000
5.0000
6.6801
6.6801
NO

33.6720
8.6720
9.5886
9.5886
NO

37.7935
12.7935
13.2862
13.2862
NO

42.4195
17.4195
17.7300
17.7300
NO

47.6117
22.6117
22.8191
22.8191
NO

53.4394
28.4394
28.5433
28.5433
NO

59.9804
34.9804
0.0000
34.9804
YES

9.4546
-15.5454
0.0299
0.0299
NO

10.6118
-14.3882
0.0541
0.0541
NO

11.9107
-13.0893
0.0970
0.0970
NO

13.3686
-11.6314
0.1722
0.1722
NO

15.0049
-9.9951
0.3023
0.3023
NO

16.8415
-8.1585
0.5241
0.5241
NO

18.9029
-6.0971
0.8951
0.8951
NO

21.2167
-3.7833
1.5018
1.5018
NO

23.8136
-1.1864
2.4669
2.4669
NO

26.7284
1.7284
3.9492
3.9492
NO

30.0000
5.0000
6.1257
6.1257
NO

33.6720
8.6720
9.1387
9.1387
NO

37.7935
12.7935
13.0010
13.0010
NO

42.4195
17.4195
17.5234
17.5234
NO

47.6117
22.6117
0.0000
22.6117
YES

8.4235
-16.5765
0.0070
0.0070
NO

9.4546
-15.5454
0.0135
0.0135
NO

10.6118
-14.3882
0.0258
0.0258
NO

11.9107
-13.0893
0.0489
0.0489
NO

13.3686
-11.6314
0.0924
0.0924
NO

15.0049
-9.9951
0.1731
0.1731
NO

16.8415
-8.1585
0.3213
0.3213
NO

18.9029
-6.0971
0.5898
0.5898
NO

21.2167
-3.7833
1.0674
1.0674
NO

23.8136
-1.1864
1.8969
1.8969
NO

26.7284
1.7284
3.2901
3.2901
NO

30.0000
5.0000
5.5144
5.5144
NO

33.6720
8.6720
8.7760
8.7760
NO

37.7935
12.7935
0.0000
12.7935
YES

7.5049
-17.4951
0.0009
0.0009
NO

8.4235
-16.5765
0.0018
0.0018
NO

9.4546
-15.5454
0.0038
0.0038
NO

10.6118
-14.3882
0.0077
0.0077
NO

11.9107
-13.0893
0.0159
0.0159
NO

13.3686
-11.6314
0.0326
0.0326
NO

15.0049
-9.9951
0.0668
0.0668
NO

16.8415
-8.1585
0.1372
0.1372
NO

18.9029
-6.0971
0.2816
0.2816
NO

21.2167
-3.7833
0.5781
0.5781
NO

23.8136
-1.1864
1.1867
1.1867
NO

26.7284
1.7284
2.4359
2.4359
NO

30.0000
5.0000
0.0000
5.0000
YES

6.6865
-18.3135
0.0000
0.0000
NO

7.5049
-17.4951
0.0000
0.0000
NO

8.4235
-16.5765
0.0000
0.0000
NO

9.4546
-15.5454
0.0000
0.0000
NO

10.6118
-14.3882
0.0000
0.0000
NO

11.9107
-13.0893
0.0000
0.0000
NO

13.3686
-11.6314
0.0000
0.0000
NO

15.0049
-9.9951
0.0000
0.0000
NO

16.8415
-8.1585
0.0000
0.0000
NO

18.9029
-6.0971
0.0000
0.0000
NO

21.2167
-3.7833
0.0000
0.0000
NO

23.8136
-1.1864
0.0000
0.0000
NO

5.9573
-19.0427
0.0000
0.0000
NO

6.6865
-18.3135
0.0000
0.0000
NO

7.5049
-17.4951
0.0000
0.0000
NO

8.4235
-16.5765
0.0000
0.0000
NO

9.4546
-15.5454
0.0000
0.0000
NO

10.6118
-14.3882
0.0000
0.0000
NO

11.9107
-13.0893
0.0000
0.0000
NO

13.3686
-11.6314
0.0000
0.0000
NO

15.0049
-9.9951
0.0000
0.0000
NO

16.8415
-8.1585
0.0000
0.0000
NO

18.9029
-6.0971
0.0000
0.0000
NO

5.3076
-19.6924
0.0000
0.0000
NO

5.9573
-19.0427
0.0000
0.0000
NO

6.6865
-18.3135
0.0000
0.0000
NO

7.5049
-17.4951
0.0000
0.0000
NO

8.4235
-16.5765
0.0000
0.0000
NO

9.4546
-15.5454
0.0000
0.0000
NO

10.6118
-14.3882
0.0000
0.0000
NO

11.9107
-13.0893
0.0000
0.0000
NO

13.3686
-11.6314
0.0000
0.0000
NO

15.0049
-9.9951
0.0000
0.0000
NO

4.7288
-20.2712
0.0000
0.0000
NO

5.3076
-19.6924
0.0000
0.0000
NO

5.9573
-19.0427
0.0000
0.0000
NO

6.6865
-18.3135
0.0000
0.0000
NO

7.5049
-17.4951
0.0000
0.0000
NO

8.4235
-16.5765
0.0000
0.0000
NO

9.4546
-15.5454
0.0000
0.0000
NO

10.6118
-14.3882
0.0000
0.0000
NO

11.9107
-13.0893
0.0000
0.0000
NO

4.2131
-20.7869
0.0000
0.0000
NO

4.7288
-20.2712
0.0000
0.0000
NO

5.3076
-19.6924
0.0000
0.0000
NO

5.9573
-19.0427
0.0000
0.0000
NO

6.6865
-18.3135
0.0000
0.0000
NO

7.5049
-17.4951
0.0000
0.0000
NO

8.4235
-16.5765
0.0000
0.0000
NO

9.4546
-15.5454
0.0000
0.0000
NO

3.7537
-21.2463
0.0000
0.0000
NO

4.2131
-20.7869
0.0000
0.0000
NO

4.7288
-20.2712
0.0000
0.0000
NO

5.3076
-19.6924
0.0000
0.0000
NO

5.9573
-19.0427
0.0000
0.0000
NO

6.6865
-18.3135
0.0000
0.0000
NO

7.5049
-17.4951
0.0000
0.0000
NO

3.3443
-21.6557
0.0000
0.0000
NO

3.7537
-21.2463
0.0000
0.0000
NO

4.2131
-20.7869
0.0000
0.0000
NO

4.7288
-20.2712
0.0000
0.0000
NO

5.3076
-19.6924
0.0000
0.0000
NO

5.9573
-19.0427
0.0000
0.0000
NO

2.9796
-22.0204
0.0000
0.0000
NO

3.3443
-21.6557
0.0000
0.0000
NO

3.7537
-21.2463
0.0000
0.0000
NO

4.2131
-20.7869
0.0000
0.0000
NO

4.7288
-20.2712
0.0000
0.0000
NO

2.6547
-22.3453
0.0000
0.0000
NO

2.9796
-22.0204
0.0000
0.0000
NO

3.3443
-21.6557
0.0000
0.0000
NO

3.7537
-21.2463
0.0000
0.0000
NO

2.3652
-22.6348
0.0000
0.0000
NO

2.6547
-22.3453
0.0000
0.0000
NO

2.9796
-22.0204
0.0000
0.0000
NO

2.1073
-22.8927
0.0000
0.0000
NO

2.3652
-22.6348
0.0000
0.0000
NO

Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?

p.thorens/212891829.xlsx.ms_office/A. Call (24)

1.8775
-23.1225
0.0000
0.0000
NO

Dynamic Strategic Planning

Option Valuation

2/22/2014

Initial Value
Strike Price
Risk-free Rate
Payout Rate
Volatility (year)
Time interval (year)

S
K
r
d
s
Dt

$30.0
$25.0
5.0%
0.0%
40.0%
0.0833

Up Factor
Down Factor
Up Probability
Down Prob.
Discount Factor

u
d
a
p
1-p
r-d
DF

1.1224
0.8909
1.0042
0.4892
0.5108
5.0%
0.996

American Put Option

Table

24 Periods

Period

10

11

12

13

14

15

16

17

18

19

20

21

22

23

24

Price
Exercise V.
Hold V.
Option V.
Exercise?

30.0000
-5.0000
3.0577
3.0577
NO

33.6720
-8.6720
2.2338
2.2338
NO

37.7935
-12.7935
1.5541
1.5541
NO

42.4195
-17.4195
1.0201
1.0201
NO

47.6117
-22.6117
0.6243
0.6243
NO

53.4394
-28.4394
0.3508
0.3508
NO

59.9804
-34.9804
0.1774
0.1774
NO

67.3220
-42.3220
0.0785
0.0785
NO

75.5623
-50.5623
0.0291
0.0291
NO

84.8112
-59.8112
0.0085
0.0085
NO

95.1922
-70.1922
0.0017
0.0017
NO

106.8438
-81.8438
0.0002
0.0002
NO

119.9216
-94.9216
0.0000
0.0000
NO

134.6001
-109.6001
0.0000
0.0000
NO

151.0753
-126.0753
0.0000
0.0000
NO

169.5670
-144.5670
0.0000
0.0000
NO

190.3222
-165.3222
0.0000
0.0000
NO

213.6178
-188.6178
0.0000
0.0000
NO

239.7648
-214.7648
0.0000
0.0000
NO

269.1122
-244.1122
0.0000
0.0000
NO

302.0518
-277.0518
0.0000
0.0000
NO

339.0232
-314.0232
0.0000
0.0000
NO

380.5199
-355.5199
0.0000
0.0000
NO

427.0959
-402.0959
0.0000
0.0000
NO

479.3728
-454.3728
0.0000
0.0000
NO

26.7284
-1.7284
3.8718
3.8718
NO

30.0000
-5.0000
2.9030
2.9030
NO

33.6720
-8.6720
2.0783
2.0783
NO

37.7935
-12.7935
1.4075
1.4075
NO

42.4195
-17.4195
0.8912
0.8912
NO

47.6117
-22.6117
0.5198
0.5198
NO

53.4394
-28.4394
0.2736
0.2736
NO

59.9804
-34.9804
0.1264
0.1264
NO

67.3220
-42.3220
0.0491
0.0491
NO

75.5623
-50.5623
0.0151
0.0151
NO

84.8112
-59.8112
0.0032
0.0032
NO

95.1922
-70.1922
0.0004
0.0004
NO

106.8438
-81.8438
0.0000
0.0000
NO

119.9216
-94.9216
0.0000
0.0000
NO

134.6001
-109.6001
0.0000
0.0000
NO

151.0753
-126.0753
0.0000
0.0000
NO

169.5670
-144.5670
0.0000
0.0000
NO

190.3222
-165.3222
0.0000
0.0000
NO

213.6178
-188.6178
0.0000
0.0000
NO

239.7648
-214.7648
0.0000
0.0000
NO

269.1122
-244.1122
0.0000
0.0000
NO

302.0518
-277.0518
0.0000
0.0000
NO

339.0232
-314.0232
0.0000
0.0000
NO

380.5199
-355.5199
0.0000
0.0000
NO

23.8136
1.1864
4.8312
4.8312
NO

26.7284
-1.7284
3.7165
3.7165
NO

30.0000
-5.0000
2.7378
2.7378
NO

33.6720
-8.6720
1.9135
1.9135
NO

37.7935
-12.7935
1.2543
1.2543
NO

42.4195
-17.4195
0.7598
0.7598
NO

47.6117
-22.6117
0.4168
0.4168
NO

53.4394
-28.4394
0.2014
0.2014
NO

59.9804
-34.9804
0.0822
0.0822
NO

67.3220
-42.3220
0.0265
0.0265
NO

75.5623
-50.5623
0.0060
0.0060
NO

84.8112
-59.8112
0.0007
0.0007
NO

95.1922
-70.1922
0.0000
0.0000
NO

106.8438
-81.8438
0.0000
0.0000
NO

119.9216
-94.9216
0.0000
0.0000
NO

134.6001
-109.6001
0.0000
0.0000
NO

151.0753
-126.0753
0.0000
0.0000
NO

169.5670
-144.5670
0.0000
0.0000
NO

190.3222
-165.3222
0.0000
0.0000
NO

213.6178
-188.6178
0.0000
0.0000
NO

239.7648
-214.7648
0.0000
0.0000
NO

269.1122
-244.1122
0.0000
0.0000
NO

302.0518
-277.0518
0.0000
0.0000
NO

21.2167
3.7833
5.9384
5.9384
NO

23.8136
1.1864
4.6842
4.6842
NO

26.7284
-1.7284
3.5496
3.5496
NO

30.0000
-5.0000
2.5605
2.5605
NO

33.6720
-8.6720
1.7382
1.7382
NO

37.7935
-12.7935
1.0944
1.0944
NO

42.4195
-17.4195
0.6266
0.6266
NO

47.6117
-22.6117
0.3172
0.3172
NO

53.4394
-28.4394
0.1362
0.1362
NO

59.9804
-34.9804
0.0464
0.0464
NO

67.3220
-42.3220
0.0111
0.0111
NO

75.5623
-50.5623
0.0014
0.0014
NO

84.8112
-59.8112
0.0000
0.0000
NO

95.1922
-70.1922
0.0000
0.0000
NO

106.8438
-81.8438
0.0000
0.0000
NO

119.9216
-94.9216
0.0000
0.0000
NO

134.6001
-109.6001
0.0000
0.0000
NO

151.0753
-126.0753
0.0000
0.0000
NO

169.5670
-144.5670
0.0000
0.0000
NO

190.3222
-165.3222
0.0000
0.0000
NO

213.6178
-188.6178
0.0000
0.0000
NO

239.7648
-214.7648
0.0000
0.0000
NO

18.9029
6.0971
7.1881
7.1881
NO

21.2167
3.7833
5.8092
5.8092
NO

23.8136
1.1864
4.5259
4.5259
NO

26.7284
-1.7284
3.3689
3.3689
NO

30.0000
-5.0000
2.3690
2.3690
NO

33.6720
-8.6720
1.5515
1.5515
NO

37.7935
-12.7935
0.9280
0.9280
NO

42.4195
-17.4195
0.4931
0.4931
NO

47.6117
-22.6117
0.2233
0.2233
NO

53.4394
-28.4394
0.0806
0.0806
NO

59.9804
-34.9804
0.0205
0.0205
NO

67.3220
-42.3220
0.0027
0.0027
NO

75.5623
-50.5623
0.0000
0.0000
NO

84.8112
-59.8112
0.0000
0.0000
NO

95.1922
-70.1922
0.0000
0.0000
NO

106.8438
-81.8438
0.0000
0.0000
NO

119.9216
-94.9216
0.0000
0.0000
NO

134.6001
-109.6001
0.0000
0.0000
NO

151.0753
-126.0753
0.0000
0.0000
NO

169.5670
-144.5670
0.0000
0.0000
NO

190.3222
-165.3222
0.0000
0.0000
NO

16.8415
8.1585
8.5675
8.5675
NO

18.9029
6.0971
7.0857
7.0857
NO

21.2167
3.7833
5.6710
5.6710
NO

23.8136
1.1864
4.3541
4.3541
NO

26.7284
-1.7284
3.1713
3.1713
NO

30.0000
-5.0000
2.1613
2.1613
NO

33.6720
-8.6720
1.3521
1.3521
NO

37.7935
-12.7935
0.7555
0.7555
NO

42.4195
-17.4195
0.3618
0.3618
NO

47.6117
-22.6117
0.1389
0.1389
NO

53.4394
-28.4394
0.0377
0.0377
NO

59.9804
-34.9804
0.0053
0.0053
NO

67.3220
-42.3220
0.0000
0.0000
NO

75.5623
-50.5623
0.0000
0.0000
NO

84.8112
-59.8112
0.0000
0.0000
NO

95.1922
-70.1922
0.0000
0.0000
NO

106.8438
-81.8438
0.0000
0.0000
NO

119.9216
-94.9216
0.0000
0.0000
NO

134.6001
-109.6001
0.0000
0.0000
NO

151.0753
-126.0753
0.0000
0.0000
NO

15.0049
9.9951
10.0568
10.0568
NO

16.8415
8.1585
8.4985
8.4985
NO

18.9029
6.0971
6.9786
6.9786
NO

21.2167
3.7833
5.5225
5.5225
NO

23.8136
1.1864
4.1645
4.1645
NO

26.7284
-1.7284
2.9539
2.9539
NO

30.0000
-5.0000
1.9346
1.9346
NO

33.6720
-8.6720
1.1388
1.1388
NO

37.7935
-12.7935
0.5782
0.5782
NO

42.4195
-17.4195
0.2369
0.2369
NO

47.6117
-22.6117
0.0690
0.0690
NO

53.4394
-28.4394
0.0105
0.0105
NO

59.9804
-34.9804
0.0000
0.0000
NO

67.3220
-42.3220
0.0000
0.0000
NO

75.5623
-50.5623
0.0000
0.0000
NO

84.8112
-59.8112
0.0000
0.0000
NO

95.1922
-70.1922
0.0000
0.0000
NO

106.8438
-81.8438
0.0000
0.0000
NO

119.9216
-94.9216
0.0000
0.0000
NO

13.3686
11.6314
11.5413
11.6314
YES

15.0049
9.9951
10.0235
10.0235
NO

16.8415
8.1585
8.4302
8.4302
NO

18.9029
6.0971
6.8682
6.8682
NO

21.2167
3.7833
5.3580
5.3580
NO

23.8136
1.1864
3.9542
3.9542
NO

26.7284
-1.7284
2.7127
2.7127
NO

30.0000
-5.0000
1.6849
1.6849
NO

33.6720
-8.6720
0.9098
0.9098
NO

37.7935
-12.7935
0.3996
0.3996
NO

42.4195
-17.4195
0.1256
0.1256
NO

47.6117
-22.6117
0.0206
0.0206
NO

53.4394
-28.4394
0.0000
0.0000
NO

59.9804
-34.9804
0.0000
0.0000
NO

67.3220
-42.3220
0.0000
0.0000
NO

75.5623
-50.5623
0.0000
0.0000
NO

84.8112
-59.8112
0.0000
0.0000
NO

95.1922
-70.1922
0.0000
0.0000
NO

11.9107
13.0893
12.9854
13.0893
YES

13.3686
11.6314
11.5275
11.6314
YES

15.0049
9.9951
9.9946
9.9951
YES

16.8415
8.1585
8.3708
8.3708
NO

18.9029
6.0971
6.7462
6.7462
NO

21.2167
3.7833
5.1755
5.1755
NO

23.8136
1.1864
3.7191
3.7191
NO

26.7284
-1.7284
2.4411
2.4411
NO

30.0000
-5.0000
1.4058
1.4058
NO

33.6720
-8.6720
0.6653
0.6653
NO

37.7935
-12.7935
0.2273
0.2273
NO

42.4195
-17.4195
0.0404
0.0404
NO

47.6117
-22.6117
0.0000
0.0000
NO

53.4394
-28.4394
0.0000
0.0000
NO

59.9804
-34.9804
0.0000
0.0000
NO

67.3220
-42.3220
0.0000
0.0000
NO

75.5623
-50.5623
0.0000
0.0000
NO

10.6118
14.3882
14.2842
14.3882
YES

11.9107
13.0893
12.9854
13.0893
YES

13.3686
11.6314
11.5275
11.6314
YES

15.0049
9.9951
9.9629
9.9951
YES

16.8415
8.1585
8.3057
8.3057
NO

18.9029
6.0971
6.6127
6.6127
NO

21.2167
3.7833
4.9735
4.9735
NO

23.8136
1.1864
3.4526
3.4526
NO

26.7284
-1.7284
2.1265
2.1265
NO

30.0000
-5.0000
1.0903
1.0903
NO

33.6720
-8.6720
0.4081
0.4081
NO

37.7935
-12.7935
0.0794
0.0794
NO

42.4195
-17.4195
0.0000
0.0000
NO

47.6117
-22.6117
0.0000
0.0000
NO

53.4394
-28.4394
0.0000
0.0000
NO

59.9804
-34.9804
0.0000
0.0000
NO

9.4546
15.5454
15.4415
15.5454
YES

10.6118
14.3882
14.2842
14.3882
YES

11.9107
13.0893
12.9854
13.0893
YES

13.3686
11.6314
11.5275
11.6314
YES

15.0049
9.9951
9.9292
9.9951
YES

16.8415
8.1585
8.2366
8.2366
NO

18.9029
6.0971
6.4708
6.4708
NO

21.2167
3.7833
4.7508
4.7508
NO

23.8136
1.1864
3.1363
3.1363
NO

26.7284
-1.7284
1.7526
1.7526
NO

30.0000
-5.0000
0.7262
0.7262
NO

33.6720
-8.6720
0.1561
0.1561
NO

37.7935
-12.7935
0.0000
0.0000
NO

42.4195
-17.4195
0.0000
0.0000
NO

47.6117
-22.6117
0.0000
0.0000
NO

8.4235
16.5765
16.4725
16.5765
YES

9.4546
15.5454
15.4415
15.5454
YES

10.6118
14.3882
14.2842
14.3882
YES

11.9107
13.0893
12.9854
13.0893
YES

13.3686
11.6314
11.5275
11.6314
YES

15.0049
9.9951
9.8972
9.9951
YES

16.8415
8.1585
8.1709
8.1709
NO

18.9029
6.0971
6.3360
6.3360
NO

21.2167
3.7833
4.4871
4.4871
NO

23.8136
1.1864
2.7500
2.7500
NO

26.7284
-1.7284
1.2780
1.2780
NO

30.0000
-5.0000
0.3070
0.3070
NO

33.6720
-8.6720
0.0000
0.0000
NO

37.7935
-12.7935
0.0000
0.0000
NO

7.5049
17.4951
17.3911
17.4951
YES

8.4235
16.5765
16.4725
16.5765
YES

9.4546
15.5454
15.4415
15.5454
YES

10.6118
14.3882
14.2842
14.3882
YES

11.9107
13.0893
12.9854
13.0893
YES

13.3686
11.6314
11.5275
11.6314
YES

15.0049
9.9951
9.8911
9.9951
YES

16.8415
8.1585
8.0986
8.1585
YES

18.9029
6.0971
6.1874
6.1874
NO

21.2167
3.7833
4.1822
4.1822
NO

23.8136
1.1864
2.2185
2.2185
NO

26.7284
-1.7284
0.6035
0.6035
NO

30.0000
-5.0000
0.0000
0.0000
NO

6.6865
18.3135
18.2096
18.3135
YES

7.5049
17.4951
17.3911
17.4951
YES

8.4235
16.5765
16.4725
16.5765
YES

9.4546
15.5454
15.4415
15.5454
YES

10.6118
14.3882
14.2842
14.3882
YES

11.9107
13.0893
12.9854
13.0893
YES

13.3686
11.6314
11.5275
11.6314
YES

15.0049
9.9951
9.8911
9.9951
YES

16.8415
8.1585
8.0545
8.1585
YES

18.9029
6.0971
5.9931
6.0971
YES

21.2167
3.7833
3.6794
3.7833
YES

23.8136
1.1864
0.0000
1.1864
YES

5.9573
19.0427
18.9388
19.0427
YES

6.6865
18.3135
18.2096
18.3135
YES

7.5049
17.4951
17.3911
17.4951
YES

8.4235
16.5765
16.4725
16.5765
YES

9.4546
15.5454
15.4415
15.5454
YES

10.6118
14.3882
14.2842
14.3882
YES

11.9107
13.0893
12.9854
13.0893
YES

13.3686
11.6314
11.5275
11.6314
YES

15.0049
9.9951
9.8911
9.9951
YES

16.8415
8.1585
8.0545
8.1585
YES

18.9029
6.0971
0.0000
6.0971
YES

5.3076
19.6924
19.5884
19.6924
YES

5.9573
19.0427
18.9388
19.0427
YES

6.6865
18.3135
18.2096
18.3135
YES

7.5049
17.4951
17.3911
17.4951
YES

8.4235
16.5765
16.4725
16.5765
YES

9.4546
15.5454
15.4415
15.5454
YES

10.6118
14.3882
14.2842
14.3882
YES

11.9107
13.0893
12.9854
13.0893
YES

13.3686
11.6314
11.5275
11.6314
YES

15.0049
9.9951
0.0000
9.9951
YES

4.7288
20.2712
20.1672
20.2712
YES

5.3076
19.6924
19.5884
19.6924
YES

5.9573
19.0427
18.9388
19.0427
YES

6.6865
18.3135
18.2096
18.3135
YES

7.5049
17.4951
17.3911
17.4951
YES

8.4235
16.5765
16.4725
16.5765
YES

9.4546
15.5454
15.4415
15.5454
YES

10.6118
14.3882
14.2842
14.3882
YES

11.9107
13.0893
0.0000
13.0893
YES

4.2131
20.7869
20.6829
20.7869
YES

4.7288
20.2712
20.1672
20.2712
YES

5.3076
19.6924
19.5884
19.6924
YES

5.9573
19.0427
18.9388
19.0427
YES

6.6865
18.3135
18.2096
18.3135
YES

7.5049
17.4951
17.3911
17.4951
YES

8.4235
16.5765
16.4725
16.5765
YES

9.4546
15.5454
0.0000
15.5454
YES

3.7537
21.2463
21.1424
21.2463
YES

4.2131
20.7869
20.6829
20.7869
YES

4.7288
20.2712
20.1672
20.2712
YES

5.3076
19.6924
19.5884
19.6924
YES

5.9573
19.0427
18.9388
19.0427
YES

6.6865
18.3135
18.2096
18.3135
YES

7.5049
17.4951
0.0000
17.4951
YES

3.3443
21.6557
21.5517
21.6557
YES

3.7537
21.2463
21.1424
21.2463
YES

4.2131
20.7869
20.6829
20.7869
YES

4.7288
20.2712
20.1672
20.2712
YES

5.3076
19.6924
19.5884
19.6924
YES

5.9573
19.0427
0.0000
19.0427
YES

2.9796
22.0204
21.9164
22.0204
YES

3.3443
21.6557
21.5517
21.6557
YES

3.7537
21.2463
21.1424
21.2463
YES

4.2131
20.7869
20.6829
20.7869
YES

4.7288
20.2712
0.0000
20.2712
YES

2.6547
22.3453
22.2414
22.3453
YES

2.9796
22.0204
21.9164
22.0204
YES

3.3443
21.6557
21.5517
21.6557
YES

3.7537
21.2463
0.0000
21.2463
YES

2.3652
22.6348
22.5309
22.6348
YES

2.6547
22.3453
22.2414
22.3453
YES

2.9796
22.0204
0.0000
22.0204
YES

2.1073
22.8927
22.7888
22.8927
YES

2.3652
22.6348
0.0000
22.6348
YES

Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?
Price
Exercise V.
Hold V.
Option V.
Exercise?

p.thorens/212891829.xlsx.ms_office/A. Put (24)

1.8775
23.1225
0.0000
23.1225
YES

Dynamic Strategic Planning

Option Valuation

2/22/2014

Initial Value
Strike Price
Risk-free Rate
Payout Rate
Volatility (year)
Time interval (year)

S
K
r
d
s
Dt

$30.0
$25.0
5.0%
0.0%
40.0%
0.0833

Up Factor
Down Factor
Up Probability
Down Prob.

u
d
a
p
1-p

Discount Factor

r-d
DF

1.1224
0.8909
1.0042
0.4892
0.5108
5.0%
0.996

European Call Option

Table

24 Periods

Period

10

11

12

13

14

15

16

17

18

19

20

21

22

23

24

Price
Exercise V.
Hold V.
Option V.

30.0000
5.0000
10.2564
10.2564

33.6720
8.6720
13.0747
13.0747

37.7935
12.7935
16.4665
16.4665

42.4195
17.4195
20.4930
20.4930

47.6117
22.6117
25.2126
25.2126

53.4394
28.4394
30.6820
30.6820

59.9804
34.9804
36.9593
36.9593

67.3220
42.3220
44.1082
44.1082

75.5623
50.5623
52.2032
52.2032

84.8112
59.8112
61.3343
61.3343

95.1922
70.1922
71.6105
71.6105

106.8438
81.8438
83.1621
83.1621

119.9216
94.9216
96.1408
96.1408

134.6001
109.6001
110.7201
110.7201

151.0753
126.0753
127.0955
127.0955

169.5670
144.5670
145.4871
145.4871

190.3222
165.3222
166.1418
166.1418

213.6178
188.6178
189.3364
189.3364

239.7648
214.7648
215.3820
215.3820

269.1122
244.1122
244.6276
244.6276

302.0518
277.0518
277.4650
277.4650

339.0232
314.0232
314.3337
314.3337

380.5199
355.5199
355.7274
355.7274

427.0959
402.0959
402.1999
402.1999

479.3728
454.3728
0.0000
454.3728

Exercise

26.7284
1.7284
7.6410
7.6410

30.0000
5.0000
9.9332
9.9332

33.6720
8.6720
12.7449
12.7449

37.7935
12.7935
16.1405
16.1405

42.4195
17.4195
20.1805
20.1805

47.6117
22.6117
24.9208
24.9208

53.4394
28.4394
30.4146
30.4146

59.9804
34.9804
36.7159
36.7159

67.3220
42.3220
43.8848
43.8848

75.5623
50.5623
51.9938
51.9938

84.8112
59.8112
61.1326
61.1326

95.1922
70.1922
71.4118
71.4118

106.8438
81.8438
82.9638
82.9638

119.9216
94.9216
95.9418
95.9418

134.6001
109.6001
110.5202
110.5202

151.0753
126.0753
126.8949
126.8949

169.5670
144.5670
145.2856
145.2856

190.3222
165.3222
165.9394
165.9394

213.6178
188.6178
189.1332
189.1332

239.7648
214.7648
215.1780
215.1780

269.1122
244.1122
244.4228
244.4228

302.0518
277.0518
277.2592
277.2592

339.0232
314.0232
314.1271
314.1271

380.5199
355.5199
0.0000
355.5199

Exercise

23.8136
-1.1864
5.5081
5.5081

26.7284
1.7284
7.3215
7.3215

30.0000
5.0000
9.5969
9.5969

33.6720
8.6720
12.4032
12.4032

37.7935
12.7935
15.8055
15.8055

42.4195
17.4195
19.8629
19.8629

47.6117
22.6117
24.6283
24.6283

53.4394
28.4394
30.1502
30.1502

59.9804
34.9804
36.4774
36.4774

67.3220
42.3220
43.6663
43.6663

75.5623
50.5623
51.7875
51.7875

84.8112
59.8112
60.9319
60.9319

95.1922
70.1922
71.2125
71.2125

106.8438
81.8438
82.7639
82.7639

119.9216
94.9216
95.7412
95.7412

134.6001
109.6001
110.3187
110.3187

151.0753
126.0753
126.6925
126.6925

169.5670
144.5670
145.0825
145.0825

190.3222
165.3222
165.7354
165.7354

213.6178
188.6178
188.9283
188.9283

239.7648
214.7648
214.9722
214.9722

269.1122
244.1122
244.2162
244.2162

302.0518
277.0518
0.0000
277.0518

Exercise

21.2167
-3.7833
3.8164
3.8164

23.8136
-1.1864
5.2021
5.2021

26.7284
1.7284
6.9877
6.9877

30.0000
5.0000
9.2462
9.2462

33.6720
8.6720
12.0488
12.0488

37.7935
12.7935
15.4613
15.4613

42.4195
17.4195
19.5412
19.5412

47.6117
22.6117
24.3368
24.3368

53.4394
28.4394
29.8906
29.8906

59.9804
34.9804
36.2452
36.2452

67.3220
42.3220
43.4530
43.4530

75.5623
50.5623
51.5840
51.5840

84.8112
59.8112
60.7314
60.7314

95.1922
70.1922
71.0118
71.0118

106.8438
81.8438
82.5624
82.5624

119.9216
94.9216
95.5388
95.5388

134.6001
109.6001
110.1155
110.1155

151.0753
126.0753
126.4885
126.4885

169.5670
144.5670
144.8776
144.8776

190.3222
165.3222
165.5296
165.5296

213.6178
188.6178
188.7217
188.7217

239.7648
214.7648
0.0000
214.7648

Exercise

18.9029
-6.0971
2.5206
2.5206

21.2167
-3.7833
3.5344
3.5344

23.8136
-1.1864
4.8819
4.8819

26.7284
1.7284
6.6377
6.6377

30.0000
5.0000
8.8790
8.8790

33.6720
8.6720
11.6802
11.6802

37.7935
12.7935
15.1080
15.1080

42.4195
17.4195
19.2168
19.2168

47.6117
22.6117
24.0489
24.0489

53.4394
28.4394
29.6384
29.6384

59.9804
34.9804
36.0209
36.0209

67.3220
42.3220
43.2449
43.2449

75.5623
50.5623
51.3819
51.3819

84.8112
59.8112
60.5299
60.5299

95.1922
70.1922
70.8094
70.8094

106.8438
81.8438
82.3592
82.3592

119.9216
94.9216
95.3348
95.3348

134.6001
109.6001
109.9106
109.9106

151.0753
126.0753
126.2827
126.2827

169.5670
144.5670
144.6710
144.6710

190.3222
165.3222
0.0000
165.3222

Exercise

16.8415
-8.1585
1.5702
1.5702

18.9029
-6.0971
2.2728
2.2728

21.2167
-3.7833
3.2402
3.2402

23.8136
-1.1864
4.5454
4.5454

26.7284
1.7284
6.2687
6.2687

30.0000
5.0000
8.4929
8.4929

33.6720
8.6720
11.2963
11.2963

37.7935
12.7935
14.7460
14.7460

42.4195
17.4195
18.8922
18.8922

47.6117
22.6117
23.7680
23.7680

53.4394
28.4394
29.3967
29.3967

59.9804
34.9804
35.8053
35.8053

67.3220
42.3220
43.0407
43.0407

75.5623
50.5623
51.1796
51.1796

84.8112
59.8112
60.3267
60.3267

95.1922
70.1922
70.6054
70.6054

106.8438
81.8438
82.1544
82.1544

119.9216
94.9216
95.1290
95.1290

134.6001
109.6001
109.7040
109.7040

151.0753
126.0753
0.0000
126.0753

Exercise

15.0049
-9.9951
0.9100
0.9100

16.8415
-8.1585
1.3649
1.3649

18.9029
-6.0971
2.0167
2.0167

21.2167
-3.7833
2.9320
2.9320

23.8136
-1.1864
4.1897
4.1897

26.7284
1.7284
5.8773
5.8773

30.0000
5.0000
8.0848
8.0848

33.6720
8.6720
10.8957
10.8957

37.7935
12.7935
14.3769
14.3769

42.4195
17.4195
18.5715
18.5715

47.6117
22.6117
23.4993
23.4993

53.4394
28.4394
29.1685
29.1685

59.9804
34.9804
35.5976
35.5976

67.3220
42.3220
42.8375
42.8375

75.5623
50.5623
50.9755
50.9755

84.8112
59.8112
60.1218
60.1218

95.1922
70.1922
70.3997
70.3997

106.8438
81.8438
81.9478
81.9478

119.9216
94.9216
0.0000
94.9216

Exercise

13.3686
-11.6314
0.4818
0.4818

15.0049
-9.9951
0.7518
0.7518

16.8415
-8.1585
1.1565
1.1565

18.9029
-6.0971
1.7515
1.7515

21.2167
-3.7833
2.6077
2.6077

23.8136
-1.1864
3.8112
3.8112

26.7284
1.7284
5.4588
5.4588

30.0000
5.0000
7.6507
7.6507

33.6720
8.6720
10.4771
10.4771

37.7935
12.7935
14.0039
14.0039

42.4195
17.4195
18.2619
18.2619

47.6117
22.6117
23.2495
23.2495

53.4394
28.4394
28.9548
28.9548

59.9804
34.9804
35.3936
35.3936

67.3220
42.3220
42.6326
42.6326

75.5623
50.5623
50.7698
50.7698

84.8112
59.8112
59.9152
59.9152

95.1922
70.1922
0.0000
70.1922

Exercise

11.9107
-13.0893
0.2272
0.2272

13.3686
-11.6314
0.3704
0.3704

15.0049
-9.9951
0.5962
0.5962

16.8415
-8.1585
0.9458
0.9458

18.9029
-6.0971
1.4765
1.4765

21.2167
-3.7833
2.2643
2.2643

23.8136
-1.1864
3.4042
3.4042

26.7284
1.7284
5.0063
5.0063

30.0000
5.0000
7.1850
7.1850

33.6720
8.6720
10.0403
10.0403

37.7935
12.7935
13.6345
13.6345

42.4195
17.4195
17.9753
17.9753

47.6117
22.6117
23.0249
23.0249

53.4394
28.4394
28.7499
28.7499

59.9804
34.9804
35.1879
35.1879

67.3220
42.3220
42.4260
42.4260

75.5623
50.5623
0.0000
50.5623

Exercise

10.6118
-14.3882
0.0918
0.0918

11.9107
-13.0893
0.1572
0.1572

13.3686
-11.6314
0.2662
0.2662

15.0049
-9.9951
0.4452
0.4452

16.8415
-8.1585
0.7340
0.7340

18.9029
-6.0971
1.1911
1.1911

21.2167
-3.7833
1.8976
1.8976

23.8136
-1.1864
2.9606
2.9606

26.7284
1.7284
4.5092
4.5092

30.0000
5.0000
6.6801
6.6801

33.6720
8.6720
9.5886
9.5886

37.7935
12.7935
13.2862
13.2862

42.4195
17.4195
17.7300
17.7300

47.6117
22.6117
22.8191
22.8191

53.4394
28.4394
28.5433
28.5433

59.9804
34.9804
0.0000
34.9804

Exercise

9.4546
-15.5454
0.0299
0.0299

10.6118
-14.3882
0.0541
0.0541

11.9107
-13.0893
0.0970
0.0970

13.3686
-11.6314
0.1722
0.1722

15.0049
-9.9951
0.3023
0.3023

16.8415
-8.1585
0.5241
0.5241

18.9029
-6.0971
0.8951
0.8951

21.2167
-3.7833
1.5018
1.5018

23.8136
-1.1864
2.4669
2.4669

26.7284
1.7284
3.9492
3.9492

30.0000
5.0000
6.1257
6.1257

33.6720
8.6720
9.1387
9.1387

37.7935
12.7935
13.0010
13.0010

42.4195
17.4195
17.5234
17.5234

47.6117
22.6117
0.0000
22.6117

Exercise

8.4235
-16.5765
0.0070
0.0070

9.4546
-15.5454
0.0135
0.0135

10.6118
-14.3882
0.0258
0.0258

11.9107
-13.0893
0.0489
0.0489

13.3686
-11.6314
0.0924
0.0924

15.0049
-9.9951
0.1731
0.1731

16.8415
-8.1585
0.3213
0.3213

18.9029
-6.0971
0.5898
0.5898

21.2167
-3.7833
1.0674
1.0674

23.8136
-1.1864
1.8969
1.8969

26.7284
1.7284
3.2901
3.2901

30.0000
5.0000
5.5144
5.5144

33.6720
8.6720
8.7760
8.7760

37.7935
12.7935
0.0000
12.7935

Exercise

7.5049
-17.4951
0.0009
0.0009

8.4235
-16.5765
0.0018
0.0018

9.4546
-15.5454
0.0038
0.0038

10.6118
-14.3882
0.0077
0.0077

11.9107
-13.0893
0.0159
0.0159

13.3686
-11.6314
0.0326
0.0326

15.0049
-9.9951
0.0668
0.0668

16.8415
-8.1585
0.1372
0.1372

18.9029
-6.0971
0.2816
0.2816

21.2167
-3.7833
0.5781
0.5781

23.8136
-1.1864
1.1867
1.1867

26.7284
1.7284
2.4359
2.4359

30.0000
5.0000
0.0000
5.0000

Exercise

6.6865
-18.3135
0.0000
0.0000

7.5049
-17.4951
0.0000
0.0000

8.4235
-16.5765
0.0000
0.0000

9.4546
-15.5454
0.0000
0.0000

10.6118
-14.3882
0.0000
0.0000

11.9107
-13.0893
0.0000
0.0000

13.3686
-11.6314
0.0000
0.0000

15.0049
-9.9951
0.0000
0.0000

16.8415
-8.1585
0.0000
0.0000

18.9029
-6.0971
0.0000
0.0000

21.2167
-3.7833
0.0000
0.0000

23.8136
-1.1864
0.0000
0.0000

Do not exercise

5.9573
-19.0427
0.0000
0.0000

6.6865
-18.3135
0.0000
0.0000

7.5049
-17.4951
0.0000
0.0000

8.4235
-16.5765
0.0000
0.0000

9.4546
-15.5454
0.0000
0.0000

10.6118
-14.3882
0.0000
0.0000

11.9107
-13.0893
0.0000
0.0000

13.3686
-11.6314
0.0000
0.0000

15.0049
-9.9951
0.0000
0.0000

16.8415
-8.1585
0.0000
0.0000

18.9029
-6.0971
0.0000
0.0000

Do not exercise

5.3076
-19.6924
0.0000
0.0000

5.9573
-19.0427
0.0000
0.0000

6.6865
-18.3135
0.0000
0.0000

7.5049
-17.4951
0.0000
0.0000

8.4235
-16.5765
0.0000
0.0000

9.4546
-15.5454
0.0000
0.0000

10.6118
-14.3882
0.0000
0.0000

11.9107
-13.0893
0.0000
0.0000

13.3686
-11.6314
0.0000
0.0000

15.0049
-9.9951
0.0000
0.0000

Do not exercise

4.7288
-20.2712
0.0000
0.0000

5.3076
-19.6924
0.0000
0.0000

5.9573
-19.0427
0.0000
0.0000

6.6865
-18.3135
0.0000
0.0000

7.5049
-17.4951
0.0000
0.0000

8.4235
-16.5765
0.0000
0.0000

9.4546
-15.5454
0.0000
0.0000

10.6118
-14.3882
0.0000
0.0000

11.9107
-13.0893
0.0000
0.0000 Do not exercise

4.2131
-20.7869
0.0000
0.0000

4.7288
-20.2712
0.0000
0.0000

5.3076
-19.6924
0.0000
0.0000

5.9573
-19.0427
0.0000
0.0000

6.6865
-18.3135
0.0000
0.0000

7.5049
-17.4951
0.0000
0.0000

8.4235
-16.5765
0.0000
0.0000

9.4546
-15.5454
0.0000
0.0000 Do not exercise

3.7537
-21.2463
0.0000
0.0000

4.2131
-20.7869
0.0000
0.0000

4.7288
-20.2712
0.0000
0.0000

5.3076
-19.6924
0.0000
0.0000

5.9573
-19.0427
0.0000
0.0000

6.6865
-18.3135
0.0000
0.0000

7.5049
-17.4951
0.0000
0.0000 Do not exercise

3.3443
-21.6557
0.0000
0.0000

3.7537
-21.2463
0.0000
0.0000

4.2131
-20.7869
0.0000
0.0000

4.7288
-20.2712
0.0000
0.0000

5.3076
-19.6924
0.0000
0.0000

5.9573
-19.0427
0.0000
0.0000 Do not exercise

2.9796
-22.0204
0.0000
0.0000

3.3443
-21.6557
0.0000
0.0000

3.7537
-21.2463
0.0000
0.0000

4.2131
-20.7869
0.0000
0.0000

4.7288
-20.2712
0.0000
0.0000 Do not exercise

2.6547
-22.3453
0.0000
0.0000

2.9796
-22.0204
0.0000
0.0000

3.3443
-21.6557
0.0000
0.0000

3.7537
-21.2463
0.0000
0.0000 Do not exercise

2.3652
-22.6348
0.0000
0.0000

2.6547
-22.3453
0.0000
0.0000

2.9796
-22.0204
0.0000
0.0000 Do not exercise

2.1073
-22.8927
0.0000
0.0000

2.3652
-22.6348
0.0000
0.0000 Do not exercise

Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.

p.thorens/212891829.xlsx.ms_office/E. Call (24)

1.8775
-23.1225
0.0000
0.0000 Do not exercise

Dynamic Strategic Planning

Option Valuation

2/22/2014

Initial Value
Strike Price
Risk-free Rate
Payout Rate
Volatility (year)
Time interval (year)

S
K
r
d
s
Dt

$30.0
$25.0
5.0%
0.0%
40.0%
0.0833

Up Factor
Down Factor
Up Probability
Down Prob.

u
d
a
p
1-p

Discount Factor

r-d
DF

1.1224
0.8909
1.0042
0.4892
0.5108
5.0%
0.996

European Call Option

Table

24 Periods

Period

10

11

12

13

14

15

16

17

18

19

20

21

22

23

Price
Exercise V.
Hold V.
Option V.

30.0000
-5.0000
2.8773
2.8773

33.6720
-8.6720
2.1181
2.1181

37.7935
-12.7935
1.4833
1.4833

42.4195
-17.4195
0.9790
0.9790

47.6117
-22.6117
0.6020
0.6020

53.4394
-28.4394
0.3397
0.3397

59.9804
-34.9804
0.1725
0.1725

67.3220
-42.3220
0.0766
0.0766

75.5623
-50.5623
0.0285
0.0285

84.8112
-59.8112
0.0084
0.0084

95.1922
-70.1922
0.0017
0.0017

106.8438
-81.8438
0.0002
0.0002

119.9216
-94.9216
0.0000
0.0000

134.6001
########
0.0000
0.0000

151.0753
########
0.0000
0.0000

169.5670
########
0.0000
0.0000

190.3222
########
0.0000
0.0000

213.6178
########
0.0000
0.0000

239.7648
########
0.0000
0.0000

269.1122
########
0.0000
0.0000

302.0518
########
0.0000
0.0000

339.0232
########
0.0000
0.0000

380.5199
########
0.0000
0.0000

427.0959
########
0.0000
0.0000

479.3728
########
0.0000
0.0000 Do not exercise

26.7284
-1.7284
3.6279
3.6279

30.0000
-5.0000
2.7434
2.7434

33.6720
-8.6720
1.9783
1.9783

37.7935
-12.7935
1.3481
1.3481

42.4195
-17.4195
0.8581
0.8581

47.6117
-22.6117
0.5027
0.5027

53.4394
-28.4394
0.2657
0.2657

59.9804
-34.9804
0.1232
0.1232

67.3220
-42.3220
0.0481
0.0481

75.5623
-50.5623
0.0148
0.0148

84.8112
-59.8112
0.0032
0.0032

95.1922
-70.1922
0.0004
0.0004

106.8438
-81.8438
0.0000
0.0000

119.9216
-94.9216
0.0000
0.0000

134.6001
########
0.0000
0.0000

151.0753
########
0.0000
0.0000

169.5670
########
0.0000
0.0000

190.3222
########
0.0000
0.0000

213.6178
########
0.0000
0.0000

239.7648
########
0.0000
0.0000

269.1122
########
0.0000
0.0000

302.0518
########
0.0000
0.0000

339.0232
########
0.0000
0.0000

380.5199
########
0.0000
0.0000 Do not exercise

23.8136
1.1864
4.5047
4.5047

26.7284
-1.7284
3.4985
3.4985

30.0000
-5.0000
2.5981
2.5981

33.6720
-8.6720
1.8284
1.8284

37.7935
-12.7935
1.2056
1.2056

42.4195
-17.4195
0.7339
0.7339

47.6117
-22.6117
0.4043
0.4043

53.4394
-28.4394
0.1961
0.1961

59.9804
-34.9804
0.0804
0.0804

67.3220
-42.3220
0.0261
0.0261

75.5623
-50.5623
0.0059
0.0059

84.8112
-59.8112
0.0007
0.0007

95.1922
-70.1922
0.0000
0.0000

106.8438
-81.8438
0.0000
0.0000

119.9216
-94.9216
0.0000
0.0000

134.6001
########
0.0000
0.0000

151.0753
########
0.0000
0.0000

169.5670
########
0.0000
0.0000

190.3222
########
0.0000
0.0000

213.6178
########
0.0000
0.0000

239.7648
########
0.0000
0.0000

269.1122
########
0.0000
0.0000

302.0518
########
0.0000
0.0000 Do not exercise

21.2167
3.7833
5.5052
5.5052

23.8136
1.1864
4.3896
4.3896

26.7284
-1.7284
3.3565
3.3565

30.0000
-5.0000
2.4398
2.4398

33.6720
-8.6720
1.6672
1.6672

37.7935
-12.7935
1.0555
1.0555

42.4195
-17.4195
0.6070
0.6070

47.6117
-22.6117
0.3086
0.3086

53.4394
-28.4394
0.1331
0.1331

59.9804
-34.9804
0.0456
0.0456

67.3220
-42.3220
0.0110
0.0110

75.5623
-50.5623
0.0014
0.0014

84.8112
-59.8112
0.0000
0.0000

95.1922
-70.1922
0.0000
0.0000

106.8438
-81.8438
0.0000
0.0000

119.9216
-94.9216
0.0000
0.0000

134.6001
########
0.0000
0.0000

151.0753
########
0.0000
0.0000

169.5670
########
0.0000
0.0000

190.3222
########
0.0000
0.0000

213.6178
########
0.0000
0.0000

239.7648
########
0.0000
0.0000 Do not exercise

18.9029
6.0971
6.6187
6.6187

21.2167
3.7833
5.4149
5.4149

23.8136
1.1864
4.2618
4.2618

26.7284
-1.7284
3.1997
3.1997

30.0000
-5.0000
2.2666
2.2666

33.6720
-8.6720
1.4935
1.4935

37.7935
-12.7935
0.8979
0.8979

42.4195
-17.4195
0.4792
0.4792

47.6117
-22.6117
0.2180
0.2180

53.4394
-28.4394
0.0791
0.0791

59.9804
-34.9804
0.0202
0.0202

67.3220
-42.3220
0.0027
0.0027

75.5623
-50.5623
0.0000
0.0000

84.8112
-59.8112
0.0000
0.0000

95.1922
-70.1922
0.0000
0.0000

106.8438
-81.8438
0.0000
0.0000

119.9216
-94.9216
0.0000
0.0000

134.6001
########
0.0000
0.0000

151.0753
########
0.0000
0.0000

169.5670
########
0.0000
0.0000

190.3222
########
0.0000
0.0000 Do not exercise

16.8415
8.1585
7.8258
7.8258

18.9029
6.0971
6.5635
6.5635

21.2167
3.7833
5.3140
5.3140

23.8136
1.1864
4.1194
4.1194

26.7284
-1.7284
3.0256
3.0256

30.0000
-5.0000
2.0762
2.0762

33.6720
-8.6720
1.3062
1.3062

37.7935
-12.7935
0.7333
0.7333

42.4195
-17.4195
0.3528
0.3528

47.6117
-22.6117
0.1361
0.1361

53.4394
-28.4394
0.0372
0.0372

59.9804
-34.9804
0.0053
0.0053

67.3220
-42.3220
0.0000
0.0000

75.5623
-50.5623
0.0000
0.0000

84.8112
-59.8112
0.0000
0.0000

95.1922
-70.1922
0.0000
0.0000

106.8438
-81.8438
0.0000
0.0000

119.9216
-94.9216
0.0000
0.0000

134.6001
########
0.0000
0.0000

151.0753
########
0.0000
0.0000 Do not exercise

15.0049
9.9951
9.0987
9.0987

16.8415
8.1585
7.8138
7.8138

18.9029
6.0971
6.5014
6.5014

21.2167
3.7833
5.2007
5.2007

23.8136
1.1864
3.9595
3.9595

26.7284
-1.7284
2.8307
2.8307

30.0000
-5.0000
1.8655
1.8655

33.6720
-8.6720
1.1037
1.1037

37.7935
-12.7935
0.5631
0.5631

42.4195
-17.4195
0.2319
0.2319

47.6117
-22.6117
0.0681
0.0681

53.4394
-28.4394
0.0105
0.0105

59.9804
-34.9804
0.0000
0.0000

67.3220
-42.3220
0.0000
0.0000

75.5623
-50.5623
0.0000
0.0000

84.8112
-59.8112
0.0000
0.0000

95.1922
-70.1922
0.0000
0.0000

106.8438
-81.8438
0.0000
0.0000

119.9216
-94.9216
0.0000
0.0000 Do not exercise

13.3686
11.6314
10.4037
10.4037

15.0049
9.9951
9.1346
9.1346

16.8415
8.1585
7.8003
7.8003

18.9029
6.0971
6.4319
6.4319

21.2167
3.7833
5.0729
5.0729

23.8136
1.1864
3.7783
3.7783

26.7284
-1.7284
2.6104
2.6104

30.0000
-5.0000
1.6304
1.6304

33.6720
-8.6720
0.8849
0.8849

37.7935
-12.7935
0.3908
0.3908

42.4195
-17.4195
0.1238
0.1238

47.6117
-22.6117
0.0206
0.0206

53.4394
-28.4394
0.0000
0.0000

59.9804
-34.9804
0.0000
0.0000

67.3220
-42.3220
0.0000
0.0000

75.5623
-50.5623
0.0000
0.0000

84.8112
-59.8112
0.0000
0.0000

95.1922
-70.1922
0.0000
0.0000 Do not exercise

11.9107
13.0893
11.7041
11.7041

13.3686
11.6314
10.4872
10.4872

15.0049
9.9951
9.1746
9.1746

16.8415
8.1585
7.7861
7.7861

18.9029
6.0971
6.3543
6.3543

21.2167
3.7833
4.9277
4.9277

23.8136
1.1864
3.5703
3.5703

26.7284
-1.7284
2.3578
2.3578

30.0000
-5.0000
1.3654
1.3654

33.6720
-8.6720
0.6496
0.6496

37.7935
-12.7935
0.2237
0.2237

42.4195
-17.4195
0.0404
0.0404

47.6117
-22.6117
0.0000
0.0000

53.4394
-28.4394
0.0000
0.0000

59.9804
-34.9804
0.0000
0.0000

67.3220
-42.3220
0.0000
0.0000

75.5623
-50.5623
0.0000
0.0000 Do not exercise

10.6118
14.3882
12.9653
12.9653

11.9107
13.0893
11.8299
11.8299

13.3686
11.6314
10.5795
10.5795

15.0049
9.9951
9.2210
9.2210

16.8415
8.1585
7.7726
7.7726

18.9029
6.0971
6.2679
6.2679

21.2167
3.7833
4.7608
4.7608

23.8136
1.1864
3.3274
3.3274

26.7284
-1.7284
2.0621
2.0621

30.0000
-5.0000
1.0628
1.0628

33.6720
-8.6720
0.4011
0.4011

37.7935
-12.7935
0.0794
0.0794

42.4195
-17.4195
0.0000
0.0000

47.6117
-22.6117
0.0000
0.0000

53.4394
-28.4394
0.0000
0.0000

59.9804
-34.9804
0.0000
0.0000 Do not exercise

9.4546
15.5454
14.1588
14.1588

10.6118
14.3882
13.1242
13.1242

11.9107
13.0893
11.9670
11.9670

13.3686
11.6314
10.6836
10.6836

15.0049
9.9951
9.2772
9.2772

16.8415
8.1585
7.7625
7.7625

18.9029
6.0971
6.1725
6.1725

21.2167
3.7833
4.5665
4.5665

23.8136
1.1864
3.0360
3.0360

26.7284
-1.7284
1.7053
1.7053

30.0000
-5.0000
0.7125
0.7125

33.6720
-8.6720
0.1561
0.1561

37.7935
-12.7935
0.0000
0.0000

42.4195
-17.4195
0.0000
0.0000

47.6117
-22.6117
0.0000
0.0000 Do not exercise

8.4235
16.5765
15.2654
15.2654

9.4546
15.5454
14.3397
14.3397

10.6118
14.3882
13.2940
13.2940

11.9107
13.0893
12.1180
12.1180

13.3686
11.6314
10.8037
10.8037

15.0049
9.9951
9.3486
9.3486

16.8415
8.1585
7.7612
7.7612

18.9029
6.0971
6.0696
6.0696

21.2167
3.7833
4.3353
4.3353

23.8136
1.1864
2.6701
2.6701

26.7284
-1.7284
1.2511
1.2511

30.0000
-5.0000
0.3070
0.3070

33.6720
-8.6720
0.0000
0.0000

37.7935
-12.7935
0.0000
0.0000 Do not exercise

7.5049
17.4951
16.2767
16.2767

8.4235
16.5765
15.4584
15.4584

9.4546
15.5454
14.5289
14.5289

10.6118
14.3882
13.4758
13.4758

11.9107
13.0893
12.2856
12.2856

13.3686
11.6314
10.9454
10.9454

15.0049
9.9951
9.4447
9.4447

16.8415
8.1585
7.7802
7.7802

18.9029
6.0971
5.9655
5.9655

21.2167
3.7833
4.0509
4.0509

23.8136
1.1864
2.1656
2.1656

26.7284
-1.7284
0.6035
0.6035

30.0000
-5.0000
0.0000
0.0000

Do not exercise

6.6865
18.3135
17.1936
17.1936

7.5049
17.4951
16.4748
16.4748

8.4235
16.5765
15.6563
15.6563

9.4546
15.5454
14.7258
14.7258

10.6118
14.3882
13.6696
13.6696

11.9107
13.0893
12.4721
12.4721

13.3686
11.6314
11.1160
11.1160

15.0049
9.9951
9.5819
9.5819

16.8415
8.1585
7.8479
7.8479

18.9029
6.0971
5.8896
5.8896

21.2167
3.7833
3.6794
3.6794

23.8136
1.1864
0.0000
1.1864

Exercise

5.9573
19.0427
18.0224
18.0224

6.6865
18.3135
17.3934
17.3934

7.5049
17.4951
16.6755
16.6755

8.4235
16.5765
15.8579
15.8579

9.4546
15.5454
14.9282
14.9282

10.6118
14.3882
13.8728
13.8728

11.9107
13.0893
12.6761
12.6761

13.3686
11.6314
11.3209
11.3209

15.0049
9.9951
9.7876
9.7876

16.8415
8.1585
8.0545
8.0545

18.9029
6.0971
0.0000
6.0971

Exercise

5.3076
19.6924
18.7722
18.7722

5.9573
19.0427
18.2231
18.2231

6.6865
18.3135
17.5949
17.5949

7.5049
17.4951
16.8778
16.8778

8.4235
16.5765
16.0610
16.0610

9.4546
15.5454
15.1322
15.1322

10.6118
14.3882
14.0776
14.0776

11.9107
13.0893
12.8818
12.8818

13.3686
11.6314
11.5275
11.5275

15.0049
9.9951
0.0000
9.9951

Exercise

4.7288
20.2712
19.4516
19.4516

5.3076
19.6924
18.9737
18.9737

5.9573
19.0427
18.4255
18.4255

6.6865
18.3135
17.7981
17.7981

7.5049
17.4951
17.0819
17.0819

8.4235
16.5765
16.2659
16.2659

9.4546
15.5454
15.3380
15.3380

10.6118
14.3882
14.2842
14.2842

11.9107
13.0893
0.0000
13.0893

Exercise

4.2131
20.7869
20.0682
20.0682

4.7288
20.2712
19.6539
19.6539

5.3076
19.6924
19.1769
19.1769

5.9573
19.0427
18.6295
18.6295

6.6865
18.3135
18.0030
18.0030

7.5049
17.4951
17.2876
17.2876

8.4235
16.5765
16.4725
16.4725

9.4546
15.5454
0.0000
15.5454

Exercise

3.7537
21.2463
20.6291
20.6291

4.2131
20.7869
20.2714
20.2714

4.7288
20.2712
19.8580
19.8580

5.3076
19.6924
19.3818
19.3818

5.9573
19.0427
18.8352
18.8352

6.6865
18.3135
18.2096
18.2096

7.5049
17.4951
0.0000
17.4951

Exercise

3.3443
21.6557
21.1402
21.1402

3.7537
21.2463
20.8331
20.8331

4.2131
20.7869
20.4763
20.4763

4.7288
20.2712
20.0637
20.0637

5.3076
19.6924
19.5884
19.5884

5.9573
19.0427
0.0000
19.0427

Exercise

2.9796
22.0204
21.6072
21.6072

3.3443
21.6557
21.3451
21.3451

3.7537
21.2463
21.0389
21.0389

4.2131
20.7869
20.6829
20.6829

4.7288
20.2712
0.0000
20.2712

Exercise

2.6547
22.3453
22.0348
22.0348

2.9796
22.0204
21.8129
21.8129

3.3443
21.6557
21.5517
21.5517

3.7537
21.2463
0.0000
21.2463

Exercise

2.3652
22.6348
22.4273
22.4273

2.6547
22.3453
22.2414
22.2414

2.9796
22.0204
0.0000
22.0204

Exercise

2.1073
22.8927
22.7888
22.7888

2.3652
22.6348
0.0000
22.6348

Exercise

1.8775
23.1225
0.0000
23.1225

Exercise

Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.
Price
Exercise V.
Hold V.
Option V.

p.thorens/212891829.xlsx.ms_office/E. Put (24)

Dynamic Strategic Planning

Option Valuation

24

2/22/2014