QI. The following diagram shows the construction of a 4-period binomial tree by matching the volatility with u and d. The option is European. Rounding your calculations to the nearest thousandth (i.e. 6.667), fill in the 16 blanks Spot Price Strike Price 50 u 45 d 91.158 39188 Time to Maturity 0.5036 Volatility 0.3 1-p Interest Rate 0.05 At na 78.449 67.545 67.512 n/a 58.128 0.933 -0.109 50.024 50 Spot Price Pat Price Delta 1.903 -0.26 43.050 n/a 43.071 5.038 -0.611 8.346 37.084 7.916 -0.825 n/a 31.914 13.086 27.478 n/a
QI. The following diagram shows the construction of a 4-period binomial tree by matching the volatility with u and d. The option is European. Rounding your calculations to the nearest thousandth (i.e. 6.667), fill in the 16 blanks Spot Price Strike Price 50 u 45 d 91.158 39188 Time to Maturity 0.5036 Volatility 0.3 1-p Interest Rate 0.05 At na 78.449 67.545 67.512 n/a 58.128 0.933 -0.109 50.024 50 Spot Price Pat Price Delta 1.903 -0.26 43.050 n/a 43.071 5.038 -0.611 8.346 37.084 7.916 -0.825 n/a 31.914 13.086 27.478 n/a
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:Finance Departinent
PART 2: A Binomial Problem
Q1. The following diagram shows the construction of a 4-period binomial tree by matching the volatility
with u and d. The option is European. Rounding your calculations to the nearest thousandth (i.e. 6.667),
fill in the 16 blanks
Spot Price
Strike Price
50 u
45 d
Time to Maturity
Volatility
91.158
19.188
1 p
0.5036
0.3 1-p
0.05 At
Interest Rate
n/a
78.449
67.545
67.512
n/a
58.128
0.933
-0.109
50.024
50
Spot Price
Put Price
Delta
1.903
-0.26
43.050
n/a
43.071
5.038
-0.611
37.084
8.346
7.916
n/a
-0.825
31.914
13.086
27.478
n/a
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