González García Isaac

Opción PUT
S = 200
U = 1.1
D = 0.9
K = 240
r = 0.06
T _--> 2 meses
# de Etapas 4 220
∆t = 0.041667 20
π = 0.512516 200 25.995459
42.46584 25.264423
41.2201 180
p = 41.2201 europea 60
P = 42.46584 americana 59.400749
58.206733

-0.0078888
-0.442077
∆ -0.686247 -1
-0.823558 -1
-1 -1
-1 Portafolio Réplica del PUT europeo p
-1
t=0 t= 1/24

2.31
117.8851
B 176.6798 240
206.4471 239.4007
238.803 240
239.4007
240
 T Payoff Prob

292.82 0 0.068997

266.2
0
242 0.204232 239.58 0.42 0.262508
0 0.204232
10.89954 217.8
10.60815 22.2
198 21.60075 196.02 43.98 0.37453
42 21.60075
41.40075 178.2
40.803 61.8
162 61.20075 160.38 79.62 0.237492
78 61.20075
77.40075 145.8
76.803 94.2
93.60075 131.22 108.78 0.056473
93.60075

t= 2/24 t= 3/24 t= 4/24