BINOMIAL OPTION PRICING Multi-Period Call

Inputs
Option Type: 1=Call, 0=Put 1
Stock Price Now $60.00
Up Movement / Period 10.00%
Down Movement / Period -5.00%
Riskfree Rate / Period 0.50%
Exercise Price $65.00
Time To Maturity (Years) 2.00
Number of Periods 8

Now
Period 0 1 2 3 4 5 6
Time 0.000 0.250 0.500 0.750 1.000 1.250 1.500

Stock $60.00 $66.00 $72.60 $79.86 $87.85 $96.63 $106.29

$57.00 $62.70 $68.97 $75.87 $83.45 $91.80
$54.15 $59.57 $65.52 $72.07 $79.28
$51.44 $56.59 $62.25 $68.47
$48.87 $53.76 $59.13
$46.43 $51.07
$44.11

Call $3.93 $6.73 $10.94 $16.78 $24.13 $32.60 $41.94

$2.34 $4.34 $7.65 $12.66 $19.42 $27.44
$1.20 $2.46 $4.81 $8.84 $14.93
$0.48 $1.12 $2.52 $5.39
$0.12 $0.32 $0.87
$0.00 $0.00
$0.00

Replicating Portfolio

Stock Shares Bought (Sold)

0.487 0.667 0.838 0.958 1.000 1.000 1.000
0.367 0.552 0.758 0.929 1.000 1.000
0.244 0.413 0.644 0.882 1.000
0.130 0.259 0.484 0.803
0.043 0.108 0.269
0.000 0.000
0.000

Money Lent (Borrowed)

($25.32) ($37.28) ($49.93) ($59.71) ($63.72) ($64.03) ($64.35)
($18.60) ($30.26) ($44.66) ($57.86) ($64.03) ($64.35)
($11.99) ($22.16) ($37.36) ($54.74) ($64.35)
($6.20) ($13.53) ($27.59) ($49.61)
($2.00) ($5.50) ($15.06)
$0.00 $0.00
$0.00
 Maturity
7 8
1.750 2.000

$116.92 $128.62
$100.98 $111.08
$87.21 $95.93
$75.32 $82.85
$65.05 $71.55
$56.18 $61.79
$48.52 $53.37
$41.90 $46.09
$39.81

$52.25 $63.62
$36.30 $46.08
$22.53 $30.93
$10.64 $17.85
$2.39 $6.55
$0.00 $0.00
$0.00 $0.00
$0.00 $0.00
$0.00

1.000
1.000
1.000
1.000
0.671
0.000
0.000
0.000
($64.68)
($64.68)
($64.68)
($64.68)
($41.28)
$0.00
$0.00
$0.00