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  • Lista 2

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    Clayton Samora
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    This document contains calculations and probabilities related to pricing options using a binomial model. It provides inputs such as stock price, strike price, interest rate, and time to expiration. It then calculates probabilities of the stock price increasing or decreasing at each time step. These probabilities are used to price European and American call and put options, including those with barriers. Graphs show how the option prices change with different node probabilities over time.

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    lista 2

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    This document contains calculations and probabilities related to pricing options using a binomial model. It provides inputs such as stock price, strike price, interest rate, and time to expiration. It then calculates probabilities of the stock price increasing or decreasing at each time step. These probabilities are used to price European and American call and put options, including those with barriers. Graphs show how the option prices change with different node probabilities over time.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
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    Download as xlsx, pdf, or txt
    3 views8 pages

    Lista 2

    Uploaded by

    Clayton Samora
    This document contains calculations and probabilities related to pricing options using a binomial model. It provides inputs such as stock price, strike price, interest rate, and time to expiration. It then calculates probabilities of the stock price increasing or decreasing at each time step. These probabilities are used to price European and American call and put options, including those with barriers. Graphs show how the option prices change with different node probabilities over time.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 8

    Problema 2, 2 lista de econofisica

    pU
    $=
    x=
    Bcall
    Bput
    U=
    D=
    R=
    n=

    100
    100
    150
    70
    1.2
    0.8
    0.05
    7

    1 R 1 D

    U D 1 R

    Probabilidades R
    z= 1 + R= 1.05
    pU= 0.625
    pd= 0.375
    piu+pid= 1

    pn/k

    100.00%

    62.50%

    1
    2
    3
    4
    5
    6
    7
    Teste =

    0.00%
    37.50%
    0.00%
    0.00%
    0.00%
    0.00%
    0.00%
    0.00%
    nk k
    0.00% n 0.00%
    p 0.00%
    n, k 0.00%
    pU p D
    k
    0.00%
    0.00%
    100.00%
    100.00%

    n!
    p Un k p Dk
    k ! n k !

    Preo do S
    pn/k

    S n ,k D nkU k S

    0
    1
    2
    3
    4
    5
    6
    7

    100.00
    120.00
    80.00
    10000.00% 20000.00%

    Valor Intrnseo
    pn/k

    0
    1
    2
    3

    0.00
    -1.00
    -1.00
    -1.00

    20.00
    0.00
    -1.00
    -1.00

    n
    n!
    p n, k p Un k p Dk
    p Un k p Dk
    k ! n k !
    k

    4
    5
    6
    7

    -1.00
    -1.00
    -1.00
    -1.00
    0.00

    -1.00
    -1.00
    -1.00
    -1.00
    11.90

    pn/k

    0
    1
    2
    3
    4
    5
    6
    7

    0.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    0.00

    20.00
    0.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    11.90

    Valor Intrnseco da Call com

    Valor Intrnseco PUT com B


    pn/k

    0
    1
    2
    3
    4
    5
    6
    7
    p barreira

    0.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    0.00

    0.00
    20.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    7.14

    Valor Intrnseco da Call


    pn/k

    0
    1
    2
    3
    4
    5
    6
    7
    C=

    35.38
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    35.38

    49.14
    17.15
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00

    Valor Intrnseco PUT a


    pn/k

    0
    1
    2
    3
    4
    5
    6
    7
    p barreira

    30.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    5.00

    30.00
    30.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    13.33

    pD

    1 R U 1

    U D 1 R

    Probabilidades Risco Neutro pnk

    n
    p Un k p Dk
    k

    39.06%

    24.41%

    15.26%

    9.54%

    5.96%

    3.73%

    36.62%
    32.96%
    13.18%
    1.98%
    0.00%
    0.00%
    0.00%
    100.00%

    28.61%
    34.33%
    20.60%
    6.18%
    0.74%
    0.00%
    0.00%
    100.00%

    21.46%
    32.19%
    25.75%
    11.59%
    2.78%
    0.28%
    0.00%
    100.00%

    15.65%
    28.16%
    28.16%
    16.90%
    6.08%
    1.22%
    0.10%
    100.00%

    207.36
    138.24
    92.16
    61.44
    40.96
    54016.00%

    248.83
    165.89
    110.59
    73.73
    49.15
    32.77
    68096.00%

    298.60
    199.07
    132.71
    88.47
    58.98
    39.32
    26.21
    84336.64%

    358.32
    238.88
    159.25
    106.17
    70.78
    47.19
    31.46
    20.97
    103301.12%

    148.83
    65.89
    10.59
    0.00

    198.60
    99.07
    32.71
    0.00

    258.32
    138.88
    59.25
    6.17

    46.88%
    43.95%
    14.06%
    26.37%
    0.00%
    5.27%
    0.00%
    0.00%
    0.00%n !
    0.00%
    0.00%
    p Un k p Dk
    0.00%
    k! n k !
    0.00%
    0.00%
    100.00%
    100.00%

    Preo do Stock Snk


    2

    144.00
    172.80
    96.00
    115.20
    64.00
    76.80
    51.20
    30400.00% 41600.00%

    2
    44.00
    0.00
    0.00
    -1.00

    Valor Intrnseo spot: Lcal nk


    3
    4
    72.80
    15.20
    0.00
    0.00

    107.36
    38.24
    0.00
    0.00

    -1.00
    -1.00
    -1.00
    -1.00
    15.59

    -1.00
    -1.00
    -1.00
    -1.00
    21.12

    0.00
    -1.00
    -1.00
    -1.00
    25.00

    0.00
    0.00
    -1.00
    -1.00
    28.74

    0.00
    0.00
    0.00
    -1.00
    32.55

    0.00
    0.00
    0.00
    0.00
    35.38

    Valor Intrnseco da Call com barreira: L Call barreira nk


    2

    44.00
    0.00
    0.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    15.59

    50.00
    15.20
    0.00
    0.00
    -1.00
    -1.00
    -1.00
    -1.00
    16.32

    50.00
    38.24
    0.00
    0.00
    0.00
    -1.00
    -1.00
    -1.00
    17.80

    50.00
    50.00
    10.59
    0.00
    0.00
    0.00
    -1.00
    -1.00
    17.79

    50.00
    50.00
    32.71
    0.00
    0.00
    0.00
    0.00
    -1.00
    18.09

    50.00
    50.00
    50.00
    6.17
    0.00
    0.00
    0.00
    0.00
    18.13

    Valor Intrnseco PUT com Barreira: L Put barreira nk


    2

    0.00
    4.00
    30.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    5.53

    0.00
    0.00
    23.20
    30.00
    -1.00
    -1.00
    -1.00
    -1.00
    6.65

    0.00
    0.00
    7.84
    30.00
    30.00
    -1.00
    -1.00
    -1.00
    5.87

    0.00
    0.00
    0.00
    26.27
    30.00
    30.00
    -1.00
    -1.00
    5.87

    0.00
    0.00
    0.00
    11.53
    30.00
    30.00
    30.00
    -1.00
    5.49

    0.00
    0.00
    0.00
    0.00
    29.22
    30.00
    30.00
    30.00
    5.09

    Valor Intrnseco da Call americana: L Call nk


    2

    67.37
    25.32
    5.81
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00

    91.01
    36.96
    9.30
    0.77
    -1.00
    -1.00
    -1.00
    -1.00

    120.98
    53.19
    14.84
    1.30
    0.00
    -1.00
    -1.00
    -1.00

    158.13
    75.19
    23.62
    2.19
    0.00
    0.00
    -1.00
    -1.00

    203.36
    103.83
    37.47
    3.67
    0.00
    0.00
    0.00
    -1.00

    258.32
    138.88
    59.25
    6.17
    0.00
    0.00
    0.00
    0.00

    Valor Intrnseco PUT americana: L Put nk


    2
    3
    4
    30.00
    30.00
    30.00
    -1.00
    -1.00
    -1.00
    -1.00
    -1.00
    1,254.42

    30.00
    30.00
    30.00
    30.00
    -1.00
    -1.00
    -1.00
    -1.00
    2,360.00

    30.00
    30.00
    30.00
    30.00
    30.00
    -1.00
    -1.00
    -1.00
    3,693.11

    30.00
    30.00
    30.00
    30.00
    30.00
    30.00
    -1.00
    -1.00
    5,413.66

    198.60
    99.07
    32.71
    10.44
    36.26
    55.92
    69.02
    -1.00
    6,947.58

    0.00
    0.00
    0.00
    0.00
    29.22
    52.81
    68.54
    79.03
    1,462.01

    pn/k

    0
    1
    2
    3

    0.00
    -1.00
    -1.00
    -1.00

    0.00
    20.00
    -1.00
    -1.00

    Valor Intrnseco da PUT: Lput nk


    2
    3
    4
    0.00
    4.00
    36.00
    -1.00

    0.00
    0.00
    23.20
    48.80

    0.00
    0.00
    7.84
    38.56

    0.00
    0.00
    0.00
    26.27

    0.00
    0.00
    0.00
    11.53

    0.00
    0.00
    0.00
    0.00

    4
    5
    6
    7
    p

    -1.00
    -1.00
    -1.00
    -1.00
    0.00

    -1.00
    -1.00
    -1.00
    -1.00
    7.14

    -1.00
    -1.00
    -1.00
    -1.00
    6.29

    -1.00
    -1.00
    -1.00
    -1.00
    7.51

    59.04
    -1.00
    -1.00
    -1.00
    7.27

    50.85
    67.23
    -1.00
    -1.00
    7.09

    41.02
    60.68
    73.79
    -1.00
    7.17

    29.22
    52.81
    68.54
    79.03
    6.44

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