BINOMIAL OPTION PRICING

SINGLE PERIOD

Variables Input
Option type: 1 = Call, 0=Put 1
Current stock price 100
Up movement 30% 130% p 0.430226
Down movement -20% 80% 1-p 0.5697738708
Riskfree rate 2%
Exercise Price 90
Time to maturity in months 9
Time to maturity in years 0.75
Number of periods 1

Now Maturity
Period 0 1
Time 0 0.75

Stock 100 130

80

call 16.95535 40
0
 Variables Inputs
Option type: 1 = Call, 0=Put 1
Current stock price 60
Up movement 0.1 u 1.1
Down movement 0.05 d 0.95
Riskfree rate 0.005
Exercise Price 65
Time to maturity in months 24
Time to maturity in years 2
Number of periods 8 Interval 0.25
p 0.36667
1-p 0.63333

Period 0 1 2 3 4 5
Time 0 0.25 0.5 0.75 1 1.25

Stock 60.00 66.00 72.60 79.86 87.85 96.63

57.00 62.70 68.97 75.87 83.45
54.15 59.57 65.52 72.07
51.44 56.59 62.25
48.87 53.76
46.43

call 4.05 6.91 11.19 17.10 24.49 32.96

2.40 4.44 7.79 12.85 19.64
0.58 1.23 2.51 4.88 8.94
0.09 0.21 0.49 1.14 2.54
0.01 0.02 0.04 0.12 0.32
0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00
0.00
 Maturity
6 7 8
1.5 1.75 2

106.29 116.92 128.62

91.80 100.98 111.08
79.28 87.21 95.93
68.47 75.32 82.85
59.13 65.05 71.55
51.07 56.18 61.79
44.11 48.52 53.37
41.90 46.09
39.81

42.25 52.44 63.62

27.65 36.44 46.08
15.04 22.62 30.93
5.43 10.68 17.85
0.88 2.40 6.55
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00 0.00
0.00 0.00
0.00