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  • Solução Da Opção de Expansão

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    jgutierrez_castro7724
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    This document summarizes the valuation of an expansion option using a binomial lattice model. It outlines the assumptions, intermediate calculations, underlying asset lattice, cash flows, and option valuation lattice. The model values the expansion option at $7,239.92 based on an underlying asset value of $7,000, expansion factor of 1.5, maturity of 3 years, and volatility of 30%. It maps the asset price over time in a lattice and calculates the corresponding option value at each node.

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    Dividendos

    Original Title

    Exemplo Dividendos

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    This document summarizes the valuation of an expansion option using a binomial lattice model. It outlines the assumptions, intermediate calculations, underlying asset lattice, cash flows, and option valuation lattice. The model values the expansion option at $7,239.92 based on an underlying asset value of $7,000, expansion factor of 1.5, maturity of 3 years, and volatility of 30%. It maps the asset price over time in a lattice and calculates the corresponding option value at each node.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xls, pdf, or txt
    5 views2 pages

    Solução Da Opção de Expansão

    Uploaded by

    jgutierrez_castro7724
    This document summarizes the valuation of an expansion option using a binomial lattice model. It outlines the assumptions, intermediate calculations, underlying asset lattice, cash flows, and option valuation lattice. The model values the expansion option at $7,239.92 based on an underlying asset value of $7,000, expansion factor of 1.5, maturity of 3 years, and volatility of 30%. It maps the asset price over time in a lattice and calculates the corresponding option value at each node.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xls, pdf, or txt
    of 2

    Soluo

    Soluoda
    daOpo
    Opode
    deExpanso
    Expanso
    Assumptions

    Intermediate Calculations

    Asset Value (V)


    Underlying Cost (K)
    Expansion Factor
    Maturity (Years)
    Option Time (Years)
    Risk-free Rate (%)
    Volatility (%)
    Lattice Steps

    $2,000
    $500.00
    1.40
    2.00
    2.00
    9.00%
    35.00%
    2

    Stepping-Time (dt)
    Up Step-Size (up)
    Down Step-Size (down)
    Risk-neutral Probability (prob)

    1.0000
    1.4191
    0.7047
    53.94%

    Results

    Lattice results

    $2,251.70

    Underlying Asset Lattice


    t=0

    up
    2000.00

    down

    t=1

    t=2

    3222.00
    2838.14
    (568)
    1409.38
    (282)

    1600.00
    794.54

    Cash Flow
    t=0

    t=1

    t=2

    0%

    20%

    0%

    567.63
    0.00
    281.88

    Option Valuation Lattice


    t=0

    t=1

    t=2

    4010.81
    3287.62
    2251.70

    1740.00
    1478.65
    794.54

    Phase I

    Phase II

    Soluo
    Soluoda
    daOpo
    Opode
    deExpanso
    Expanso
    Assumptions

    Intermediate Calculations

    Asset Value (V)


    Underlying Cost (K)
    Expansion Factor
    Maturity (Years)
    Option Time (Years)
    Risk-free Rate (%)
    Volatility (%)
    Lattice Steps

    $7,000
    $3,000
    1.50
    3
    3
    9%
    30%
    3

    Stepping-Time (dt)
    Up Step-Size (up)
    Down Step-Size (down)
    Risk-neutral Probability (prob)
    Results

    Lattice results

    Underlying Asset Lattice


    t=0

    t=1

    t=2

    t=3

    9297.30

    up

    11479.35
    9449.01

    7000.00

    down

    5102.47
    6300.00

    5185.73

    2800.29
    3457.51
    1536.83

    Cash Flow
    t=0

    t=1

    t=2

    t=3

    0%

    10%

    40%

    100%

    9297.30
    4591.74
    944.90
    0.00

    5102.47
    2520.00

    518.57

    2800.29
    1383.01
    1536.83

    Option Valuation Lattice


    t=0

    t=1

    t=2

    t=3

    10945.95
    12346.52
    9905.14
    7239.92

    5102.47
    6300.00

    5185.73

    1.0000
    1.3499
    0.7408
    57.33%

    2800.29
    3457.51
    1536.83

    $7,239.92

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