Inputs

call or put? c/p c 1 toggle for formula

Asset price $20.00 Params

Strike price $21.00 u 1.100 +10% given (normal arithmetic)
Time/step, Δt 0.25 yrs d 0.900 -10% given (normal arithmetic)
Volatility, σ n.a. a 1.030 a = exp[(r-q)*Δt]
Riskfree rate, r 12.0% p 0.6523 prob of up jump
Dividend, q 0.0% 1-p 0.3477 prob of down jump

Node Time (yrs) 0.0 0.25

S=
c=
$22.00
$2.03
Stock $20.00
Option $1.282
18.00
$0.00
(normal arithmetic)
normal arithmetic)

0.50
$24.20
$3.20

$19.80
$0.00

$16.20
$0.00
Inputs
call or put? c/p c 1 toggle for formula

Asset price $20.00 Params

Strike price $21.00 a 1.030 a = exp[(r-q)*Δt]
Time/step, Δt 0.25 yrs p 0.6523 prob of up jump
Volatility, σ n.a. 1-p 0.3477 prob of down jump
Riskfree rate, r 12.0% u 1.100 +10% given (normal arithmetic)
Dividend, q 0.0% d 0.900 -10% given (normal arithmetic)

Stock 0.0 1.0 2.0

2 $24.20
1 $22.00 $19.80
0 $20.00 $18.00 $16.20

Option 0.0 1.0 2.0

2 $3.20
1 $2.03 $0.00
0 $1.282 $0.00 $0.00
(normal arithmetic)
normal arithmetic)
 Inputs
call/put? c/p c1

Asset $20.00 Params

Strike $21.00 a 1.030
Time/step, Δt 0.25 yrs p 56.4%
Volatility, σ 30.0% 1-p 43.6% R
Rf rate, r 12.0% u 1.162 u 16.2%
Div yield, q 0.0% d 0.861 d -13.9%

Stock 0.0 1.0 2.0

2 $27.00
1 $23.24 $20.00
0 $20.00 $17.21 $14.82

Option 0.0 1.0 2.0

2 $6.00
1 $3.28 $0.00
0 $1.795 $0.00 $0.00
 Pr E(R2) [E(R)]2
56.4% 0.0148 0.0912
43.6% 0.0085 -0.0608
0.023 0.0009
σ2·Δt 0.0223
σ·sqrt(Δt) 14.9%
Compare 15.0%
Inputs
call or put? c/p p -1 toggle for formula

Asset price $50.00 Params

Strike price $52.00 u 1.200 +20% given (normal arithmetic)
Time/step, Δt 1.00 yrs d 0.800 -20% given (normal arithmetic)
Volatility, σ n.a. a 1.051 a = exp[(r-q)*Δt]
Riskfree rate, r 5.0% p 0.6282 prob of up jump
Dividend, q 0.0% 1-p 0.3718 prob of down jump

Node Time (yrs) 0.0 1.00

S=
c=
$60.00
$1.41
Stock $50.00
Option $4.193
$40.00
$9.46
(normal arithmetic)
normal arithmetic)

2.00
$72.00
$0.00

$48.00
$4.00

$32.00
$20.00
Inputs
call or put? c/p c -1 toggle for formula

Asset price $50.00 Params

Strike price $52.00 u 1.200 +10% given (normal arithmetic)
Time/step, Δt 1.00 yrs d 0.800 -10% given (normal arithmetic)
Volatility, σ n.a. a 1.051 a = exp[(r-q)*Δt]
Riskfree rate, r 5.0% p 0.6282 prob of up jump
Dividend, q 0.0% 1-p 0.3718 prob of down jump

Stock 0.0 1.0 2.0

2 $72.00
1 $60.00 $48.00
0 $50.00 $40.00 $32.00

Option 0.0 1.0 2.0

2 $0.00
1 $1.41 $4.00
0 $4.193 $9.46 $20.00
(normal arithmetic)
normal arithmetic)