Initial stock price. S 0 interest rate.r Exercise price. K Time to matulty. Tiyeam) Stock price Date 0 Put option price Date 0 Up Down ma Finding ???-1 for the put Put price ???-1 The put replicating portfolio Solve equations for mun Coefficients Stock price Put option price ma Finding ???-2 for the put Put price ???-2 Stock price The put replicating portfolio Solve equations formun Coefficients Put price 777-0 Put option price ma Finding 777-0 for the put Stock price Put option price 22.0 The put replicating portfolio Solve equations for m Coefficients Date 1 m.2 30% -10% Date 1 Constant Constant Constant 100 6% 110 M M Date 2 Date 2 m Bond price Bond price Bond price Band price Date 0 Date 1 M Date 2
Initial stock price. S 0 interest rate.r Exercise price. K Time to matulty. Tiyeam) Stock price Date 0 Put option price Date 0 Up Down ma Finding ???-1 for the put Put price ???-1 The put replicating portfolio Solve equations for mun Coefficients Stock price Put option price ma Finding ???-2 for the put Put price ???-2 Stock price The put replicating portfolio Solve equations formun Coefficients Put price 777-0 Put option price ma Finding 777-0 for the put Stock price Put option price 22.0 The put replicating portfolio Solve equations for m Coefficients Date 1 m.2 30% -10% Date 1 Constant Constant Constant 100 6% 110 M M Date 2 Date 2 m Bond price Bond price Bond price Band price Date 0 Date 1 M Date 2
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:1
5 Initial stock price. S 0
Interest rate.r
7 Exercise price. K
8 Time to maturity. Ilyea)
10 Stock price
11
12
15
16
17
18 Put option price
19
24
26
30
81
83
85
28 Finding ???-1 for the put
36
37
13
14
55
57
20 The put replicating portfolio
#1 Solve equations for mun
12 Coefficients
55
58
35
35 Put price 777-1
17
18
19 Finding ???-2 for the put
50
51
2
3
6
Date 0
78
ng
Up
Down
Date 0
50
51 The put replicating portfolio
52 Solve equations for min
53 Coefficients
36
???-0
91
m
Stock price
Put option price
Put price ???-2
Put price ???-0
Stock price
Put option price
Finding ???-0 for the put
81
82 The put replicating portfolio
83 Solve equations for mn
34 Coefficients
222-1
222-2
Stock price
Put option price
222-0
Date 1
222-1
???-2
30%
-10%
Date 1
Constant
Constant
Constant
THREE-DATE BINOMIAL OPTION PRICING
100
6%
110
M M
n
Date 2
m
n
Date 2
n
m
Band price
Band price
Band price
Band price
Date 0
Date 1
W
Date 2
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