TWO-DATE BINOMIAL OPTION PRICING

Up 1.40 #VALUE!
Down 0.80 #VALUE!

Initial stock price 25

Interest rate 1.08
Exercise price 30

Stock price Bond price

35 #VALUE! 1.08
25 1
20 #VALUE! 1.08

Call option Put option

5 #VALUE! 0
??? ???
0 #VALUE! 10

A 0.3333 #VALUE!
B -6.1728 #VALUE!

Call price 2.1605 <-- Exercise 1, using simultaneous equations

Put price 4.9383 <-- Exercise 2, using state prices
Check: confirm that state prices
State prices actually price the stock and the bond
qu 0.4321 #VALUE! 1.08 #VALUE!
qd 0.4938 #VALUE! 25 #VALUE!

Put-call parity--Exercise 2
Stock + put 29.9383 #VALUE!
Call + PV(X) 29.9383 #VALUE!

Solving for the portfolio parameters: A is the number of shares and B is the number of bonds.
55*A + 108*B = 5
48.5*A + 108*B = 0

or:
A*stock*Up+B*Interest=max(stock*Up-X,0)
A*stock*Down+B*Interest=max(stock*Down-X,0)

The solution is:

check on state prices

call price 2.160494

#VALUE!

#VALUE!

#VALUE!

#VALUE!
 两时期二项式模型
上涨 1.40 #VALUE!
下跌 0.80 #VALUE!

初始股票价格 25
利率 1.08
执行价格 30

股票价格 债券价格
35 #VALUE! 1.08
25 1
20 #VALUE! 1.08

看涨期权价格 看跌期权价格
5 #VALUE! 0
??? ???
0 #VALUE! 10

A 0.3333 #VALUE!
B -6.1728 #VALUE!

看涨期权价格 2.1605 <-- 练习 1, 用同步方程

看跌期权价格 4.9383 <-- 练习 2, 用状态价格
检查: 确认状态价格
状态价格 真实定价股票和债券
qu 0.4321 #VALUE! 1.08 #VALUE!
qd 0.4938 #VALUE! 25 #VALUE!

看跌-看涨期权平价--练习 2
股票 + 看跌期权 29.9383 #VALUE!
看涨期权 + PV(X) 29.9383 #VALUE!

解出投资组合参数: A是股票数，B是债券数.
55*A + 108*B = 5
48.5*A + 108*B = 0

or:
A*股票*上涨+B*利率=max(股票*上涨-X,0)
A*股票*下跌+B*利率=max(股票*下跌-X,0)

解为:

检查状态价格

看涨期权价格 2.160494
#VALUE!

#VALUE!

#VALUE!

#VALUE!
 Exercise 3

call, X = 30 put, X = 40
5 5
2.25 12.25
0 20

stock bond: combine 3 calls and one put

35 20
???? 19
20 20

Part a As shown above, combining 3 calls and one put gives a riskless security which costs 19 today and
pays off 20 tomorrow. Therefore, the riskless interest rate is 1/19 = 5.2632%.

Part b We need to combine two of the assets for which we know the price to get the
stock's payoffs. At this point we will also know the price of the stock.
Three calls + one bond = stock payoffs. This means that the stock price =
19 + 3*2.25 = 25.75.

Check: If we compute the state prices, we get q u = 0.45 and qd = 0.50 (these state prices
can be computed from any two assets, for example the put and the call). Using these
prices to compute the value of the stock gives: stock price = 0.45*35 + 0.5*20 = 25.75.

Page 5
 Exercise 3 中文

看涨期权, X = 30 看跌期权, X = 40
5 5
2.25 12.25
0 20

股票 债券: 3个看涨期权和1个看跌期权结合
35 20
???? 19
20 20

a部分 正如上面显示的那样，组合3个看涨期权和1个看跌期权得到1个无风险证券，该证券今天成本为19
明天支付20. 因此, 无风险利率为 1/19 = 5.2632%.

b部分 为了知道股票现金流的价格，我们需要组合两个资产
此时我们也知道了股票的价格.
三个看涨期权 + 一个债券 = 股票现金流. 这意味着股票价格 =
19 + 3*2.25 = 25.75.

检查: 如果我们计算状态价格, 得到qu = 0.45和qd = 0.50 (这些状态价格

能够从任意连个资产中计算得出，例如看跌期权和看跌期权).用这些
价格来计算股票的价值得到: 股票价格 = 0.45*35 + 0.5*20 = 25.75.

Page 6
 Exercise 4

The first thing to notice here is that the probabilities are irrelevant! They are
already embedded in the price of the stock.

Stock Bond
65 1.06
50 1
45 1.06

Call option
15
???
0

Solving for the state prices gives:

qu 0.377358 #VALUE!
qd 0.566038 #VALUE!

Using these state prices to value the call option gives:

call 5.6604 #VALUE!

Another way to do this problem is to solve the set of equations which give the call payoffs:
65*A + 1.06*B = 15
45*A + 1.06*B = 0

This solves to give:

A 0.75
B -31.83962

Thus, borrowing 31.8396 at the rate of 6% and buying 0.75 of a share will replicate the call payoffs.
Calculating the cost of this strategy will give the cost of the call:
cost 5.6604

Page 7
 Exercise 4 中文

此处第一件要注意的事情是不相关的概率! 它们已经包含在股票价格中.

股票 债券
65 1.06
50 1
45 1.06

看涨期权
15
???
0

解状态价格得到:

qu 0.377358 #VALUE!
qd 0.566038 #VALUE!

用状态价格估价看涨期权得到:

看涨期权 5.6604 #VALUE!

解决该问题的另一种方法是解方程，该方程给出看涨期权的现金流为:
65*A + 1.06*B = 15
45*A + 1.06*B = 0

得到解:
A 0.75
B -31.83962

那么,在利率6%时借31.8396和购买0.75股将会复制看涨期权的现金流.
计算该策略的现金流，我们得到看涨期权的成本:
成本 5.6604

Page 8
 Exercise 5

Stock Bond
75 1.05
60 1
48 1.05

Put option
0 #VALUE!
???
7 #VALUE!

Solving for the state prices gives:

qu 0.5291 #VALUE!
qd 0.4233 #VALUE!

Using these state prices to value the put option gives:

put price 2.9630 #VALUE!

Another way to do this problem is to solve the set of equations which give the put payoffs:
75*A + 1.05*B = 0
48*A + 1.05*B = 7

This solves to give:

A -0.259259 #VALUE!
B 18.51852 #VALUE!

Thus, lending 18.51852 at the rate of 5% and shorting 0.25926 of a share will replicate the put payoffs.
Calculating the cost of this strategy will give the cost of the call:
cost 2.9630 #VALUE!

Page 9
 Exercise 5 中文

股票 债券
75 1.05
60 1
48 1.05

看跌期权
0 #VALUE!
???
7 #VALUE!

解状态价格得到:

qu 0.5291 #VALUE!
qd 0.4233 #VALUE!

用状态价格估价看跌期权得到:

看跌期权价 2.9630 #VALUE!

解决该问题的另一种方法是解方程，该方程给出看涨期权的现金流为:
75*A + 1.05*B = 0
48*A + 1.05*B = 7

得到解:
A -0.259259 #VALUE!
B 18.51852 #VALUE!

那么, 在利率5%时借出18.51852和卖空0.25926股将复制该看跌期权的现金流.
计算该策略的现金流，我们得到看涨期权的成本:
cost 2.9630 #VALUE!

Page 10
 A B C D E F G H
1 THREE-DATE BINOMIAL OPTION PRICING
2 Up, U 1.35
3 Down, D 0.95 state prices
4 qu
5 Initial stock price 40 qd
6 Interest rate, R 1.25
7 Exercise price 40
8
9 Stock price Bond price
10
11 ???
12 40 1
13 ???
14
15
16 European call option European put option
17
18 ???
19 ???
20 ??? ??? ???
21 ???
22 ???
23
24 American put option
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
 A B C D E F G H
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
 I J K
ON PRICING
1
2
3
4
5
6
7
8
9
10 ???
11 ???
12 ???
13 ???
14 ???
15
ropean put option
16
17
18 ???
19 ???
20 ???
21 ???
22 ???
23
erican put option
24
25
26 ???
27 ???
28 ???
29 ???
30 ???
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
 I J K
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
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 A B C D E F G H
1 三时期二项式期权你定价
2 上涨, U 1.35
3 下跌, D 0.95 状态价格
4 qu
5 初始股票价格 40 qd
6 利率, R 1.25
7 执行价格 40
8
9 股票价格 债券价格
10
11 ???
12 40 1
13 ???
14
15
16 欧洲式看涨期权 欧洲式看跌期权
17
18 ???
19 ???
20 ??? ??? ???
21 ???
22 ???
23
24 美国式看跌期权
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
 A B C D E F G H
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
 I J K
定价 1
2
3
4
5
6
7
8
9
10 ???
11 ???
12 ???
13 ???
14 ???
15
16
17
18 ???
19 ???
20 ???
21 ???
22 ???
23
24
25
26 ???
27 ???
28 ???
29 ???
30 ???
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
 I J K
200
201
202
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215
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217
218
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220
221
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 THREE-DATE BINOMIAL OPTION PRICING
Up, U 1.35
Down, D 0.95 state prices
qu 0.6000 <-- =(B7-B4)/((1+B7)*(B3-B4))
Initial stock price 40 qd 0.2000 <-- =(B3-B7)/((1+B7)*(B3-B4))
Interest rate, R 1.25
Exercise price 40

Stock price Bond price

72.90
54
40 51.30 1
38
36.10

Call option price European put option

#VALUE!
32.90 #VALUE!
22.000
14.556 11.30 #VALUE! 0.156
6.780
0.00 #VALUE!
#VALUE! #VALUE!
American put option
#VALUE!

By Proposition 2 of Chapter 16, an American call on

a non-dividend paying stock has the same value as 0.400
a European call.

#VALUE!
 1.5625
1.25
1.5625
1.25
1.5625

n put option

0.00 #VALUE!
0
0.00 #VALUE!
0.78
3.90 #VALUE!

n put option
#VALUE!
0.00 #VALUE!
0
0.00 #VALUE!
2
3.90 #VALUE!

#VALUE!
 三时期二项式期权你定价
上涨, U 1.35
下跌, D 0.95 状态价格
qu 0.6000 <-- =(B7-B4)/((1+B7)*(B3-B4))
初始股票价格 40 qd 0.2000 <-- =(B3-B7)/((1+B7)*(B3-B4))
利率, R 1.25
执行价格 40

股票价格 债券价格
72.90
54
40 51.30 1
38
36.10

看涨期权价格 欧洲式看跌期权
#VALUE!
32.90 #VALUE!
22.000
14.556 11.30 #VALUE! 0.156
6.780
0.00 #VALUE!
#VALUE! #VALUE!
美国式看跌期权
#VALUE!

根据第16章第2部分, 不支付股利股票上的美国式看涨期权
与欧洲式看涨期权哪价值相同 0.400

#VALUE!
 1.5625
1.25
1.5625
1.25
1.5625

0.00 #VALUE!
0
0.00 #VALUE!
0.78
3.90 #VALUE!

#VALUE!
0.00 #VALUE!
0
0.00 #VALUE!
2
3.90 #VALUE!

#VALUE!
 THREE-DATE BINOMIAL OPTION PRICING
Up, U 1.15
Down, D 0.90 state prices
qu 0.6972 <-- =(B7-B4)/(B7*(B3-B4))
Initial stock price 50 qd 0.2202 <-- =(B3-B7)/(B7*(B3-B4))
Interest rate, R 1.09
Exercise price 60

Stock price Bond price

66.13
57.5 1.09
50 51.75 1
45 1.09
40.50

European call option price European put option price

=qu*E20+qd*E22 =qu*K20+qd*K22
6.12
4.271 1.817
2.978 0.00 3.478
0.000 10.046
0.00
=qu*C21+qd*C23 =qu*E22+qd*E24 =qu*I21+qd*I23 =qu*K22+qd*K24

Check put-call parity for European options

Call + Bond 53.4785
Put + Stock 53.4785

Part c: An American call has the same price as a European call, by Proposition 2.

Part d: To price an American put:

American put option price

=max(X-St,qu*G41+qd*G43)
0.00
2.500
10.000 8.25
15.000
19.50
=Max(X-S0,qu*E42+qd*E44) =max(X-St,qu*G43+qd*G45)
 1.1881

1.1881

1.1881

qu*K20+qd*K22
0.00

8.25

19.50
qu*K22+qd*K24
 三时期二项式定价
上涨, U 1.15
下跌, D 0.90 状态价格
qu 0.6972 <-- =(B7-B4)/(B7*(B3-B4))
初始股票价格 50 qd 0.2202 <-- =(B3-B7)/(B7*(B3-B4))
利率, R 1.09
执行价格 60

股票价格 债券价格
66.13
57.5 1.09
50 51.75 1
45 1.09
40.50

欧洲式看涨期权价格 欧洲式看跌期权价格
=qu*E20+qd*E22 =qu*K20+qd*K22
6.12
4.271 1.817
2.978 0.00 3.478
0.000 10.046
0.00
=qu*C21+qd*C23 =qu*E22+qd*E24 =qu*I21+qd*I23 =qu*K22+qd*K24

检查欧洲式期权的看跌-看涨期权平价
看涨期权 + 债券 53.4785
看跌期权 + 股票 53.4785

c部分: 美国式看涨期权与欧洲式看涨期权价格相同，根据第2部分.

d部分: 定价美国式看跌期权:

美国式看跌期权价格

=max(X-St,qu*G41+qd*G43)
0.00
2.500
10.000 8.25
15.000
19.50
=Max(X-S0,qu*E42+qd*E44) =max(X-St,qu*G43+qd*G45)
 1.1881

1.1881

1.1881

qu*K20+qd*K22
0.00

8.25

19.50
qu*K22+qd*K24
 THREE-DATE BINOMIAL OPTION PRICING
Up 1.30
Down 0.90 state prices
qu 0.7000 <-- =(B7-B4)/((1+B7)*(B3-B4))
Initial stock price 30 qd 0.1000 <-- =(B3-B7)/((1+B7)*(B3-B4))
Interest rate 1.25
Exercise price 30

Stock price Bond price

50.70
39 1.25
30 35.10 1
27 1.25
24.30

European call option price European put option price

=qu*E20+qd*E22 =qu*E20+qd*E22
20.70
15.000 0.000
10.857 5.10 0.057
3.570 0.570
0.00
=qu*C21+qd*C23 =qu*E22+qd*E24 =qu*C21+qd*C23 =qu*E22+qd*E24

Check put-call parity for European options

Call + Bond 30.0570 #VALUE!
Put + Stock 30.0570 #VALUE!

Part c: To price an American put:

American put option price

=max(St - X,qu*E20+qd*E22)
0.00
0.000
0.300 0.00
3.000
5.70
=qu*C21+qd*C23 =max(St-X,qu*E22+qd*E24)
 1.5625

1.5625

1.5625

qu*E20+qd*E22
0.00

0.00

5.70
qu*E22+qd*E24
 三时期二项式期权定价
上涨 1.30
下跌 0.90 状态价格
qu 0.7000 <-- =(B7-B4)/((1+B7)*(B3-B4))
初始股票价格 30 qd 0.1000 <-- =(B3-B7)/((1+B7)*(B3-B4))
利率 1.25
执行价格 30

股票价格 债券价格
50.70
39 1.25
30 35.10 1
27 1.25
24.30

欧洲式看涨期权价格 欧洲式看跌期权价格
=qu*E20+qd*E22 =qu*E20+qd*E22
20.70
15.000 0.000
10.857 5.10 0.057
3.570 0.570
0.00
=qu*C21+qd*C23 =qu*E22+qd*E24 =qu*C21+qd*C23 =qu*E22+qd*E24

检查看跌-看涨期权平价定理作用于欧洲式期权
看涨期权+ 债券 30.0570 #VALUE!
看跌期权 +股票 30.0570 #VALUE!

c部分: 定价美国式看跌期权:

美国式看跌期权价格

=max(St - X,qu*E20+qd*E22)
0.00
0.000
0.300 0.00
3.000
5.70
=qu*C21+qd*C23 =max(St-X,qu*E22+qd*E24)
 1.5625

1.5625

1.5625

qu*E20+qd*E22
0.00

0.00

5.70
qu*E22+qd*E24
 BEST OF BOTH WORLDS (BOBOW)
Cost today 10
SP500 today 1500
Interest rate 6% ==> Means that 5-year interest rate = 33.82%

SP500 in 5 years
Good state 2500 ==> Means that "up" = 66.67%
Bad state 1200 ==> Means that "down" = -20.00%

Positive return percentage 120%

Payoff on BOWOW
Good state 18
Bad state 10

Calculating 5-year state prices

SP500
2500
1500
1200

Bond, 5 years
133.8226
100
133.8226

State prices Check?

qu 0.4641 SP 500 price today 1500
qd 0.2832 Interest factor 33.82%

At-the-money SP call
1000
464.0694
0
WORLDS (BOBOW)
To answer this question, note that BOBOW's payoff is $10 plus 1.2/1500 times an
at-the-money SP call with T = 5.

Value of an at-the-money SP call, using binomial model 464.0694

1.2/1500 times at-the-money SP call 0.3713
PV($10) plus the above=? value of BOBOW 7.8438
 两世最佳 (BOBOW)
今天的成本 10
今天的SP500 1500
利率 6% ==>意味着5年期利率 = 33.82%

5年后的SP500
好的状态 2500 ==> 意味着 "上涨" = 66.67%
坏的状态 1200 ==> 意味着 "下跌" = -20.00%

收益为正的百分数 120%

BOWOW上的现金流
好的状态 18
坏的状态 10

计算5年后的状态价格

SP500
2500
1500
1200

债券, 5年
133.8226
100
133.8226

状态价格 检查?
qu 0.4641 SP 500 今天的价格 1500
qd 0.2832 利率因素 33.82%

两平SP看涨期权
1000
464.0694
0
(BOBOW)
回答这个问题,注意BOBOW的现金流是$10加上1.2/1500乘以
一个SP两平看涨期权价格，该期权到期时间T = 5.

SP实值看涨期权的价值, 用二项式模型 464.0694

1.2/1500乘以SP两平看涨期权价格 0.3713
PV($10)加上上面=BOBOW的价值？ 7.8438
 Exercise 10

CONVERGENCE OF BINOMIAL TO BLACK-SCHOLES

Note that this spreadsheet works for n <= 500

Sigma 30% Calculation of the Black-Scholes price

Mean 10% Note that T = 1 (otherwise gets too complicated)
Risk-free 10%
n--number of subdivisions of one period 10 S, current stock price
Delta, Dt 0.1 X, exercise price

Up 1.1106 Black-Scholes call price

Down 0.9186 Binomial option price
R--1+interest rate 1.0101
qu 0.4716
qd 0.5185

(1) (2) (3)

Number Number Present value factor for path
of ups of paths =(qu)ups*(qd)(n-ups)
0 1 0.0014040759
1 10 0.0012769967
2 45 0.0011614192
3 120 0.0010563022
4 210 0.0009606991
5 252 0.0008737488
6 210 0.0007946682
7 120 0.0007227449
8 45 0.0006573312
9 10 0.0005978379
10 1 0.0005437292
1.09E+22 6.74934344833938E-150
4.46E+23 6.65939623725479E-150
1.67E+25 6.57064773547338E-150
5.83E+26 6.4830819680252E-150
1.89E+28 6.3966831728357E-150
5.72E+29 6.31143579788846E-150
1.63E+31 6.22732449842581E-150
4.37E+32 6.14433413418675E-150
1.11E+34 6.06244976668165E-150
2.67E+35 5.98165665650326E-150
6.1E+36 5.90194026067362E-150
1.33E+38 5.82328623002622E-150
2.76E+39 5.7456804066232E-150
5.48E+40 5.6691088212068E-150
1.04E+42 5.5935576906849E-150
1.91E+43 5.51901341565002E-150
3.35E+44 5.44546257793138E-150
5.66E+45 5.3728919381796E-150
9.21E+46 5.30128843348359E-150
1.45E+48 5.23063917501917E-150

Page 47
Exercise 10

2.19E+49 5.16093144572907E-150
3.21E+50 5.09215269803379E-150
4.55E+51 5.02429055157305E-150
6.26E+52 4.95733279097726E-150
8.33E+53 4.89126736366873E-150
1.08E+55 4.82608237769215E-150
1.35E+56 4.76176609957406E-150
1.64E+57 4.69830695221074E-150
1.95E+58 4.63569351278432E-150
2.24E+59 4.57391451070664E-150
2.52E+60 4.51295882559054E-150
2.75E+61 4.4528154852481E-150
2.93E+62 4.39347366371568E-150
3.04E+63 4.33492267930518E-150
3.08E+64 4.27715199268132E-150
3.05E+65 4.22015120496451E-150
2.95E+66 4.16391005585908E-150
2.78E+67 4.10841842180632E-150
2.57E+68 4.05366631416229E-150
2.31E+69 3.99964387739976E-150
2.04E+70 3.94634138733428E-150
1.76E+71 3.89374924937369E-150
1.49E+72 3.84185799679118E-150
1.23E+73 3.79065828902117E-150
1E+74 3.74014090997802E-150
7.95E+74 3.69029676639711E-150
6.19E+75 3.64111688619801E-150
4.73E+76 3.5925924168695E-150
3.54E+77 3.54471462387608E-150
2.6E+78 3.49747488908575E-150
1.88E+79 3.45086470921869E-150
1.33E+80 3.40487569431668E-150
9.25E+80 3.35949956623286E-150
6.31E+81 3.31472815714167E-150
4.24E+82 3.27055340806859E-150
2.79E+83 3.2269673674395E-150
1.81E+84 3.18396218964942E-150
1.15E+85 3.14153013365022E-150
7.21E+85 3.09966356155726E-150
4.44E+86 3.05835493727452E-150
2.69E+87 3.0175968251381E-150
1.6E+88 2.97738188857776E-150
9.39E+88 2.93770288879635E-150
5.42E+89 2.89855268346676E-150
3.08E+90 2.85992422544634E-150
1.72E+91 2.82181056150834E-150
9.48E+91 2.78420483109034E-150
5.14E+92 2.74710026505934E-150
2.75E+93 2.71049018449326E-150
1.44E+94 2.67436799947876E-150

Page 48
Exercise 10

7.49E+94 2.638727207925E-150
3.83E+95 2.60356139439327E-150
1.93E+96 2.56886422894219E-150
9.57E+96 2.53462946598829E-150
4.68E+97 2.50085094318182E-150
2.26E+98 2.46752258029745E-150
1.08E+99 2.43463837813989E-150
5.05E+99 2.40219241746395E-150
2.3E+100 2.37017885790912E-150
1.1E+101 2.33859193694823E-150
4.8E+101 2.30742596885023E-150
2.1E+102 2.2766753436567E-150
9.4E+102 2.2463345261721E-150
4.1E+103 2.21639805496734E-150
1.7E+104 2.18686054139679E-150
7.3E+104 2.15771666862825E-150
3E+105 2.12896119068593E-150
1.3E+106 2.10058893150617E-150
5.1E+106 2.0725947840057E-150
2E+107 2.04497370916239E-150
8.1E+107 2.01772073510819E-150
3.2E+108 1.99083095623419E-150
1.2E+109 1.96429953230758E-150
4.7E+109 1.93812168760044E-150
1.8E+110 1.91229271003002E-150
6.6E+110 1.88680795031062E-150
2.4E+111 1.86166282111669E-150
8.8E+111 1.83685279625709E-150
3.2E+112 1.81237340986034E-150
1.1E+113 1.7882202555708E-150
3.9E+113 1.76438898575549E-150
1.4E+114 1.7408753107215E-150
4.7E+114 1.71767499794382E-150
1.6E+115 1.69478387130353E-150
5.4E+115 1.67219781033601E-150
1.8E+116 1.64991274948931E-150
5.8E+116 1.62792467739232E-150
1.9E+117 1.60622963613268E-150
6.1E+117 1.58482372054438E-150
1.9E+118 1.56370307750484E-150
6.1E+118 1.54286390524126E-150
1.9E+119 1.52230245264639E-150
5.8E+119 1.50201501860324E-150
1.8E+120 1.4819979513189E-150
5.3E+120 1.46224764766721E-150
1.6E+121 1.4427605525402E-150
4.6E+121 1.42353315820812E-150
1.4E+122 1.40456200368808E-150
3.9E+122 1.38584367412104E-150
1.1E+123 1.36737480015715E-150

Page 49
Exercise 10

3.1E+123 1.34915205734922E-150
8.8E+123 1.33117216555434E-150
2.4E+124 1.31343188834345E-150
6.7E+124 1.29592803241875E-150
1.8E+125 1.27865744703891E-150
4.8E+125 1.26161702345193E-150
1.3E+126 1.24480369433556E-150
3.4E+126 1.22821443324516E-150
8.8E+126 1.21184625406894E-150
2.3E+127 1.19569621049046E-150
5.8E+127 1.17976139545827E-150
1.5E+128 1.16403894066263E-150
3.7E+128 1.14852601601924E-150
9.1E+128 1.13321982915977E-150
2.2E+129 1.11811762492926E-150
5.4E+129 1.10321668489017E-150
1.3E+130 1.08851432683306E-150
3.1E+130 1.0740079042938E-150
7.4E+130 1.05969480607714E-150
1.7E+131 1.04557245578677E-150
4E+131 1.0316383113615E-150
9.2E+131 1.01788986461772E-150
2.1E+132 1.00432464079789E-150
4.7E+132 9.90940198125092E-151
1.1E+133 9.77734127363513E-151
2.3E+133 9.64704051384758E-151
5.1E+133 9.51847624739969E-151
1.1E+134 9.39162533237636E-151
2.4E+134 9.2664649352704E-151
5.1E+134 9.14297252687239E-151
1.1E+135 9.02112587821539E-151
2.2E+135 8.90090305657365E-151
4.6E+135 8.78228242151468E-151
9.6E+135 8.66524262100388E-151
1.9E+136 8.54976258756116E-151
3.9E+136 8.4358215344687E-151
7.9E+136 8.32339895202929E-151
1.6E+137 8.21247460387456E-151
3.1E+137 8.10302852332233E-151
6E+137 7.99504100978262E-151
1.1E+138 7.8884926252114E-151
2.2E+138 7.78336419061177E-151
4.2E+138 7.67963678258167E-151
7.8E+138 7.57729172990757E-151
1.5E+139 7.47631061020366E-151
2.7E+139 7.37667524659575E-151
4.9E+139 7.27836770444937E-151
8.9E+139 7.18137028814149E-151
1.6E+140 7.0856655378753E-151
2.9E+140 6.99123622653733E-151

Page 50
Exercise 10

5.1E+140 6.89806535659659E-151
8.9E+140 6.80613615704493E-151
1.5E+141 6.71543208037821E-151
2.7E+141 6.62593679961773E-151
4.5E+141 6.53763420537132E-151
7.7E+141 6.45050840293359E-151
1.3E+142 6.36454370942487E-151
2.2E+142 6.27972465096821E-151
3.6E+142 6.19603595990408E-151
5.8E+142 6.11346257204214E-151
9.4E+142 6.0319896239496E-151
1.5E+143 5.95160245027585E-151
2.4E+143 5.87228658111256E-151
3.8E+143 5.79402773938915E-151
6E+143 5.71681183830279E-151
9.4E+143 5.64062497878281E-151
1.4E+144 5.56545344698879E-151
2.2E+144 5.49128371184204E-151
3.4E+144 5.41810242258998E-151
5.1E+144 5.34589640640295E-151
7.5E+144 5.27465266600307E-151
1.1E+145 5.20435837732472E-151
1.6E+145 5.13500088720614E-151
2.4E+145 5.06656771111184E-151
3.4E+145 4.99904653088536E-151
4.9E+145 4.93242519253194E-151
7E+145 4.8666917040308E-151
9.9E+145 4.80183423317654E-151
1.4E+146 4.73784110544927E-151
1.9E+146 4.67470080191324E-151
2.6E+146 4.61240195714331E-151
3.6E+146 4.55093335717923E-151
4.8E+146 4.49028393750704E-151
6.5E+146 4.43044278106743E-151
8.6E+146 4.37139911629068E-151
1.1E+147 4.31314231515772E-151
1.5E+147 4.25566189128703E-151
1.9E+147 4.19894749804713E-151
2.5E+147 4.14298892669411E-151
3.2E+147 4.08777610453402E-151
4E+147 4.03329909310982E-151
5.1E+147 3.97954808641234E-151
6.3E+147 3.92651340911527E-151
7.8E+147 3.87418551483348E-151
9.6E+147 3.82255498440472E-151
1.2E+148 3.77161252419412E-151
1.4E+148 3.72134896442129E-151
1.7E+148 3.67175525750975E-151
2E+148 3.62282247645837E-151
2.4E+148 3.57454181323442E-151

Page 51
Exercise 10

2.8E+148 3.52690457718818E-151
3.2E+148 3.47990219348853E-151
3.7E+148 3.4335262015795E-151
4.2E+148 3.38776825365733E-151
4.8E+148 3.34262011316785E-151
5.3E+148 3.29807365332386E-151
5.9E+148 3.25412085564233E-151
6.6E+148 3.21075380850099E-151
7.2E+148 3.16796470571426E-151
7.8E+148 3.12574584512812E-151
8.4E+148 3.08408962723367E-151
9E+148 3.04298855379921E-151
9.6E+148 3.00243522652055E-151
1E+149 2.96242234568929E-151
1.1E+149 2.92294270887884E-151
1.1E+149 2.88398920964798E-151
1.1E+149 2.84555483626167E-151
1.1E+149 2.80763267042893E-151
1.2E+149 2.77021588605753E-151
1.2E+149 2.73329774802524E-151
1.2E+149 2.69687161096755E-151
1.1E+149 2.66093091808142E-151
1.1E+149 2.62546919994511E-151
1.1E+149 2.59048007335359E-151
1.1E+149 2.55595724016962E-151
1E+149 2.52189448619E-151
9.6E+148 2.48828568002705E-151
9E+148 2.45512477200492E-151
8.4E+148 2.42240579307062E-151
7.8E+148 2.39012285371962E-151
7.2E+148 2.35827014293565E-151
6.6E+148 2.32684192714477E-151
5.9E+148 2.2958325491833E-151
5.3E+148 2.26523642727946E-151
4.8E+148 2.2350480540487E-151
4.2E+148 2.20526199550234E-151
3.7E+148 2.17587289006942E-151
3.2E+148 2.14687544763159E-151
2.8E+148 2.11826444857094E-151
2.4E+148 2.09003474283038E-151
2E+148 2.06218124898666E-151
1.7E+148 2.03469895333567E-151
1.4E+148 2.00758290899001E-151
1.2E+148 1.98082823498847E-151
9.6E+147 1.9544301154175E-151
7.8E+147 1.92838379854429E-151
6.3E+147 1.90268459596149E-151
5.1E+147 1.87732788174324E-151
4E+147 1.85230909161252E-151
3.2E+147 1.82762372211956E-151

Page 52
Exercise 10

2.5E+147 1.80326732983119E-151
1.9E+147 1.77923553053104E-151
1.5E+147 1.75552399843035E-151
1.1E+147 1.73212846538932E-151
8.6E+146 1.70904472014883E-151
6.5E+146 1.68626860757242E-151
4.8E+146 1.66379602789832E-151
3.6E+146 1.64162293600153E-151
2.6E+146 1.61974534066562E-151
1.9E+146 1.59815930386437E-151
1.4E+146 1.57686094005287E-151
9.9E+145 1.55584641546813E-151
7E+145 1.53511194743898E-151
4.9E+145 1.5146538037052E-151
3.4E+145 1.49446830174568E-151
2.4E+145 1.47455180811555E-151
1.6E+145 1.45490073779221E-151
1.1E+145 1.43551155352992E-151
7.5E+144 1.41638076522317E-151
5.1E+144 1.39750492927841E-151
3.4E+144 1.37888064799421E-151
2.2E+144 1.36050456894964E-151
1.4E+144 1.34237338440087E-151
9.4E+143 1.32448383068573E-151
6E+143 1.30683268763623E-151
3.8E+143 1.28941677799898E-151
2.4E+143 1.27223296686321E-151
1.5E+143 1.25527816109653E-151
9.4E+142 1.23854930878811E-151
5.8E+142 1.22204339869939E-151
3.6E+142 1.20575745972196E-151
2.2E+142 1.18968856034285E-151
1.3E+142 1.17383380811678E-151
7.7E+141 1.15819034914553E-151
4.5E+141 1.14275536756427E-151
2.7E+141 1.12752608503463E-151
1.5E+141 1.11249976024463E-151
8.9E+140 1.09767368841524E-151
5.1E+140 1.08304520081351E-151
2.9E+140 1.06861166427216E-151
1.6E+140 1.05437048071564E-151
8.9E+139 1.04031908669248E-151
4.9E+139 1.02645495291379E-151
2.7E+139 1.01277558379808E-151
1.5E+139 9.9927851702196E-152
7.8E+138 9.85961323076971E-152
4.2E+138 9.72821604832247E-152
2.2E+138 9.59856997103028E-152
1.1E+138 9.47065166224916E-152
6E+137 9.34443809633816E-152

Page 53
Exercise 10

3.1E+137 9.21990655451463E-152
1.6E+137 9.09703462076481E-152
7.9E+136 8.97580017780886E-152
3.9E+136 8.85618140311972E-152
1.9E+136 8.73815676499498E-152
9.6E+135 8.6217050186811E-152
4.6E+135 8.50680520254932E-152
2.2E+135 8.39343663432252E-152
1.1E+135 8.2815789073523E-152
5.1E+134 8.1712118869458E-152
2.4E+134 8.06231570674136E-152
1.1E+134 7.95487076513251E-152
5.1E+133 7.84885772173966E-152
2.3E+133 7.74425749392877E-152
1.1E+133 7.6410512533764E-152
4.7E+132 7.5392204226806E-152
2.1E+132 7.4387466720169E-152
9.2E+131 7.3396119158389E-152
4E+131 7.24179830962282E-152
1.7E+131 7.14528824665544E-152
7.4E+130 7.05006435486485E-152
3.1E+130 6.95610949369343E-152
1.3E+130 6.86340675101247E-152
5.4E+129 6.77193944007801E-152
2.2E+129 6.68169109652711E-152
9.1E+128 6.59264547541425E-152
3.7E+128 6.50478654828722E-152
1.5E+128 6.4180985003019E-152
5.8E+127 6.33256572737561E-152
2.3E+127 6.24817283337827E-152
8.8E+126 6.16490462736111E-152
3.4E+126 6.08274612082222E-152
1.3E+126 6.00168252500858E-152
4.8E+125 5.92169924825409E-152
1.8E+125 5.84278189335297E-152
6.7E+124 5.76491625496825E-152
2.4E+124 5.68808831707479E-152
8.8E+123 5.61228425043633E-152
3.1E+123 5.53749041011622E-152
1.1E+123 5.46369333302123E-152
3.9E+122 5.39087973547825E-152
1.4E+122 5.31903651084311E-152
4.6E+121 5.24815072714141E-152
1.6E+121 5.17820962474069E-152
5.3E+120 5.10920061405367E-152
1.8E+120 5.0411112732721E-152
5.8E+119 4.97392934613081E-152
1.9E+119 4.9076427397015E-152
6.1E+118 4.84223952221606E-152
1.9E+118 4.77770792091874E-152

Page 54
Exercise 10

6.1E+117 4.71403631994707E-152
1.9E+117 4.65121325824096E-152
5.8E+116 4.58922742747969E-152
1.8E+116 4.52806767004635E-152
5.4E+115 4.46772297701948E-152
1.6E+115 4.40818248619139E-152
4.7E+114 4.34943548011298E-152
1.4E+114 4.29147138416454E-152
3.9E+113 4.23427976465229E-152
1.1E+113 4.1778503269303E-152
3.2E+112 4.12217291354742E-152
8.8E+111 4.0672375024189E-152
2.4E+111 4.01303420502244E-152
6.6E+110 3.95955326461813E-152
1.8E+110 3.90678505449231E-152
4.7E+109 3.85472007622468E-152
1.2E+109 3.80334895797858E-152
3.2E+108 3.75266245281401E-152
8.1E+107 3.7026514370232E-152
2E+107 3.65330690848828E-152
5.1E+106 3.60461998506087E-152
1.3E+106 3.5565819029633E-152
3E+105 3.50918401521109E-152
7.3E+104 3.46241779005648E-152
1.7E+104 3.41627480945265E-152
4.1E+103 3.37074676753853E-152
9.4E+102 3.32582546914363E-152
2.1E+102 3.28150282831296E-152
4.8E+101 3.2377708668515E-152
1.1E+101 3.1946217128881E-152
2.3E+100 3.15204759945856E-152
5.05E+99 3.11004086310749E-152
1.08E+99 3.06859394250894E-152
2.26E+98 3.0276993771053E-152
4.68E+97 2.98734980576438E-152
9.57E+96 2.94753796545438E-152
1.93E+96 2.90825668993656E-152
3.83E+95 2.86949890847528E-152
7.49E+94 2.83125764456521E-152
1.44E+94 2.7935260146756E-152
2.75E+93 2.7562972270112E-152
5.14E+92 2.71956458028971E-152
9.48E+91 2.68332146253554E-152
1.72E+91 2.64756134988964E-152
3.08E+90 2.61227780543518E-152
5.42E+89 2.57746447803888E-152
9.39E+88 2.54311510120783E-152
1.6E+88 2.50922349196145E-152
2.69E+87 2.47578354971856E-152
4.44E+86 2.44278925519928E-152

Page 55
Exercise 10

7.21E+85 2.4102346693415E-152
1.15E+85 2.37811393223188E-152
1.81E+84 2.346421262051E-152
2.79E+83 2.31515095403267E-152
4.24E+82 2.28429737943701E-152
6.31E+81 2.25385498453729E-152
9.25E+80 2.22381828962022E-152
1.33E+80 2.19418188799964E-152
1.88E+79 2.16494044504322E-152
2.6E+78 2.13608869721228E-152
3.54E+77 2.10762145111432E-152
4.73E+76 2.07953358256817E-152
6.19E+75 2.05182003568165E-152
7.95E+74 2.0244758219415E-152
1E+74 1.99749601931542E-152
1.23E+73 1.97087577136609E-152
1.49E+72 1.944610286377E-152
1.76E+71 1.91869483648993E-152
2.04E+70 1.89312475685394E-152
2.31E+69 1.86789544478566E-152
2.57E+68 1.84300235894078E-152
2.78E+67 1.81844101849664E-152
2.95E+66 1.79420700234566E-152
3.05E+65 1.77029594829948E-152
3.08E+64 1.74670355230383E-152
3.04E+63 1.72342556766372E-152
2.93E+62 1.70045780427906E-152
2.75E+61 1.67779612789044E-152
2.52E+60 1.65543645933491E-152
2.24E+59 1.63337477381177E-152
1.95E+58 1.61160710015806E-152
1.64E+57 1.59012952013374E-152
1.35E+56 1.56893816771641E-152
1.08E+55 1.54802922840544E-152
8.33E+53 1.52739893853528E-152
6.26E+52 1.50704358459805E-152
4.55E+51 1.4869595025751E-152
3.21E+50 1.46714307727743E-152
2.19E+49 1.44759074169497E-152
1.45E+48 1.42829897635454E-152
9.21E+46 1.40926430868629E-152
5.66E+45 1.39048331239863E-152
3.35E+44 1.37195260686153E-152
1.91E+43 1.35366885649796E-152
1.04E+42 1.33562877018349E-152
5.48E+40 1.31782910065387E-152
2.76E+39 1.30026664392052E-152
1.33E+38 1.28293823869383E-152
6.1E+36 1.26584076581405E-152
2.67E+35 1.24897114768991E-152

Page 56
 Exercise 10

1.11E+34 1.23232634774459E-152
4.37E+32 1.21590336986917E-152
1.63E+31 1.19969925788329E-152
5.72E+29 1.18371109500303E-152
1.89E+28 1.16793600331591E-152
5.83E+26 1.15237114326283E-152
1.67E+25 1.13701371312696E-152
4.46E+23 1.12186094852941E-152
1.09E+22 1.10691012193164E-152
2.46E+20 1.09215854214449E-152
5.01E+18 1.07760355384377E-152
9.16E+16 1.06324253709229E-152
1.49E+15 1.04907290686826E-152
2.11E+13 1.03509211259998E-152
2.55E+11 1.02129763770673E-152
2.57E+09 1.00768699914579E-152
20708500 9.94257746965464E-153
124750 9.81007463864106E-153
500 9.67933764754979E-153
1 9.55034296336945E-153
========= ======== ======== =========

Page 57
 Exercise 10

K-SCHOLES
0 Sensitivity table: values of n and the binomial price

ck-Scholes price Binomial Black-Scholes

wise gets too complicated) price price
#VALUE!
30.0000 10 5.0977 #VALUE!
30.0000 20 5.0407 #VALUE!
30 5.0099 #VALUE!
#VALUE! 40 5.0073 #VALUE!
5.0977 50 5.0219 #VALUE!
60 5.0281 #VALUE!
70 5.0300 #VALUE!
80 5.0298 #VALUE!
90 5.0283 #VALUE!
(4) (5) (6) 100 5.0262 #VALUE!
Stock price Option payoff Discounted payoff 110 5.0237 #VALUE!
on path on path =(2)*(3)*(5) 120 5.0211 #VALUE!
12.8393 0 0 130 5.0183 #VALUE!
15.5219 0 0 140 5.0155 #VALUE!
18.7649 0 0 150 5.0163 #VALUE!
22.6855 0 0 160 5.0188 #VALUE!
27.4252 0 0 170 5.0207 #VALUE!
33.1551 3.1551275423 0.6947108374 180 5.0220 #VALUE!
40.0823 10.082267971 1.6825320745 190 5.0228 #VALUE!
48.4567 18.456704129 1.6007386288 200 5.0234 #VALUE!
58.5808 28.580821244 0.8454179301 250 5.0228 #VALUE!
70.8202 40.82018225 0.2440385209 300 5.0196 #VALUE!
85.6167 55.61672758 0.0302404385 350 5.0197 #VALUE!
0.0544 0 400 5.0217 #VALUE!
0.0559 0 500 5.0211 #VALUE!
0.0574 0
0.0589 0
0.0605 0
0.0622 0
0.0639 0
0.0656 0
0.0674 0
0.0692 0
0.0711 0
0.0730 0
0.0750 0
0.0771 0
0.0792 0
0.0813 0
0.0835 0
0.0858 0
0.0881 0
0.0905 0

Page 58
 Exercise 10

0.0930 0
0.0955 0
0.0981 0
0.1008 0
0.1035 0
0.1063 0
0.1092 0
0.1122 0
0.1153 0
0.1184 0
0.1216 0
0.1249 0
0.1283 0
0.1318 0
0.1354 0
0.1391 0
0.1429 0
0.1467 0
0.1507 0
0.1548 0
0.1591 0
0.1634 0
0.1678 0
0.1724 0
0.1771 0
0.1819 0
0.1868 0
0.1919 0
0.1971 0
0.2025 0
0.2080 0
0.2137 0
0.2195 0
0.2254 0
0.2316 0
0.2379 0
0.2443 0
0.2510 0
0.2578 0
0.2648 0
0.2720 0
0.2794 0
0.2870 0
0.2948 0
0.3028 0
0.3111 0
0.3195 0
0.3282 0
0.3372 0
0.3463 0

Page 59
 Exercise 10

0.3557 0
0.3654 0
0.3754 0
0.3856 0
0.3960 0
0.4068 0
0.4179 0
0.4292 0
0.4409 0
0.4529 0
0.4652 0
0.4779 0
0.4909 0
0.5042 0
0.5179 0
0.5320 0
0.5465 0
0.5614 0
0.5766 0
0.5923 0
0.6084 0
0.6250 0
0.6420 0
0.6594 0
0.6774 0
0.6958 0
0.7147 0
0.7341 0
0.7541 0
0.7746 0
0.7957 0
0.8173 0
0.8395 0
0.8624 0
0.8858 0
0.9099 0
0.9347 0
0.9601 0
0.9862 0
1.0130 0
1.0406 0
1.0689 0
1.0979 0
1.1278 0
1.1585 0
1.1900 0
1.2223 0
1.2556 0
1.2897 0
1.3248 0

Page 60
 Exercise 10

1.3608 0
1.3978 0
1.4359 0
1.4749 0
1.5150 0
1.5562 0
1.5985 0
1.6420 0
1.6867 0
1.7325 0
1.7797 0
1.8281 0
1.8778 0
1.9288 0
1.9813 0
2.0352 0
2.0905 0
2.1474 0
2.2058 0
2.2658 0
2.3274 0
2.3907 0
2.4557 0
2.5225 0
2.5911 0
2.6616 0
2.7339 0
2.8083 0
2.8847 0
2.9631 0
3.0437 0
3.1265 0
3.2115 0
3.2989 0
3.3886 0
3.4807 0
3.5754 0
3.6726 0
3.7725 0
3.8751 0
3.9805 0
4.0887 0
4.1999 0
4.3142 0
4.4315 0
4.5520 0
4.6758 0
4.8030 0
4.9336 0
5.0678 0

Page 61
 Exercise 10

5.2056 0
5.3472 0
5.4926 0
5.6420 0
5.7954 0
5.9530 0
6.1149 0
6.2812 0
6.4520 0
6.6275 0
6.8077 0
6.9929 0
7.1831 0
7.3784 0
7.5791 0
7.7852 0
7.9969 0
8.2144 0
8.4378 0
8.6673 0
8.9030 0
9.1451 0
9.3938 0
9.6493 0
9.9117 0
10.1813 0
10.4582 0
10.7426 0
11.0348 0
11.3349 0
11.6431 0
11.9598 0
12.2851 0
12.6192 0
12.9623 0
13.3149 0
13.6770 0
14.0489 0
14.4310 0
14.8235 0
15.2266 0
15.6407 0
16.0661 0
16.5030 0
16.9519 0
17.4129 0
17.8864 0
18.3729 0
18.8725 0
19.3858 0

Page 62
 Exercise 10

19.9130 0
20.4546 0
21.0109 0
21.5823 0
22.1692 0
22.7721 0
23.3915 0
24.0276 0
24.6811 0
25.3523 0
26.0418 0
26.7500 0
27.4775 0
28.2248 0
28.9924 0
29.7809 0
30.5908 0.5907885075
31.4227 1.4227373471
32.2773 2.2773119152
33.1551 3.1551275423
34.0568 4.0568162935
34.9830 4.9830274237
35.9344 5.934427845
36.9117 6.9117026068
37.9156 7.915555389
38.9467 8.9467090091
40.0059 10.005905942
41.0939 11.093908856
42.2115 12.2115011594
43.3595 13.359487567
44.5387 14.538694679
45.7500 15.749971576
46.9942 16.994190428
48.2722 18.272247127
49.5851 19.58506193
50.9336 20.93358012
52.3188 22.318772688
53.7416 23.741637032
55.2032 25.203197677
56.7045 26.704507009
58.2466 28.246646035
59.8307 29.830725163
61.4579 31.457884998
63.1293 33.129297165
64.8462 34.846165153
66.6097 36.609725182
68.4212 38.421247091
70.2820 40.282035253
72.1934 42.193429517
74.1568 44.156806168

Page 63
 Exercise 10

76.1736 46.173578924
78.2452 48.245199948
80.3732 50.373160896
82.5590 52.558993992
84.8043 54.80427313
87.1106 57.1106150085
89.4797 59.479680293
91.9132 61.913174813
94.4129 64.41285079
96.9805 66.980508097
99.6180 69.617995561
102.3272 72.327212285
105.1101 75.1101090219
107.9687 77.968689579
110.9050 80.905012256
113.9212 83.9211913336
117.0194 87.01939859
120.2019 90.201864869
123.4709 93.470881684
126.8288 96.828802868
130.2780 100.27804627
133.8211 103.82109549
137.4605 107.46050168
141.1989 111.19888537
145.0389 115.03893836
148.9834 118.98342565
153.0352 123.03518745
157.1971 127.19714119
161.4723 131.47228366
165.8637 135.86369315
170.3745 140.37453167
175.0080 145.00804721
179.7676 149.7675761
184.6565 154.65654542
189.6785 159.67847543
194.8370 164.83698213
200.1358 170.13577987
205.5787 175.57868403
211.1696 181.16961372
216.9126 186.91259465
222.8118 192.81176202
228.8714 198.87136349
235.0958 205.09576222
241.4894 211.48944006
248.0570 218.05700073
254.8032 224.80317316
261.7328 231.73281488
268.8509 238.85091553
276.1626 246.16260046
283.6731 253.67313438

Page 64
 Exercise 10

291.3879 261.38792523
299.3125 269.31252796
307.4526 277.45264865
315.8141 285.81414852
324.4030 294.40304823
333.2255 303.22553214
342.2880 312.28795284
351.5968 321.59683565
361.1589 331.15888336
370.9810 340.98098108
381.0702 351.07020113
391.4338 361.43380819
402.0793 372.0792645
413.0142 383.01423525
424.2466 394.24659409
435.7844 405.78442881
447.6360 417.63604714
459.8100 429.80998277
472.3150 442.31500144
485.1601 455.16010733
498.3545 468.35454945
511.9078 481.90782837
525.8297 495.82970305
540.1302 510.13019783
554.8196 524.81960968
569.9085 539.90851562
585.4078 555.40778032
601.3286 571.32856391
617.6823 587.68233004
634.4809 604.48085413
651.7362 621.73623185
669.4609 639.46088781
687.6676 657.66758453
706.3694 676.36943162
725.5799 695.57989522
745.3128 715.31280768
765.5824 735.58237757
786.4032 756.40319984
807.7903 777.79026639
829.7590 799.75897683
852.3251 822.32514958
875.5050 845.50503326
899.3153 869.31531839
923.7731 893.77314939
948.8961 918.89613697
974.7024 944.70237076
1001.2104 971.21043237
1028.4394 998.43940874
1056.4089 1026.4089059
1085.1391 1055.1390631

Page 65
 Exercise 10

1114.6506 1084.6505674
1144.9647 1114.9646682
1176.1032 1146.103193
1208.0886 1178.0885629
1240.9438 1210.9438088
1274.6926 1244.6925878
1309.3592 1279.3592006
1344.9686 1314.9686086
1381.5465 1351.546452
1419.1191 1389.1190686
1457.7135 1427.7135122
1497.3576 1467.3575726
1538.0798 1508.079795
1579.9095 1549.9095014
1622.8768 1592.8768109
1667.0127 1637.0126617
1712.3488 1682.3488337
1758.9180 1728.9179709
1806.7536 1776.753605
1855.8902 1825.8901797
1906.3631 1876.3630755
1958.2086 1928.2086351
2011.4642 1981.4641895
2066.1681 2036.168085
2122.3597 2092.3597108
2180.0795 2150.0795273
2239.3691 2209.3690953
2300.2711 2270.2711057
2362.8294 2332.8294107
2427.0891 2397.0890549
2493.0963 2463.0963081
2560.8987 2530.8986984
2630.5450 2600.5450463
2702.0855 2672.0855004
2775.5716 2745.5715727
2851.0562 2821.0561765
2928.5937 2898.5936638
3008.2399 2978.2398652
3090.0521 3060.0521292
3174.0894 3144.0893642
3260.4121 3230.4120807
3349.0824 3319.0824347
3440.1643 3410.1642728
3533.7232 3503.7231778
3629.8265 3599.8265161
3728.5435 3698.5434863
3829.9452 3799.945169
3934.1046 3904.1045775
4041.0967 4011.0967114
4150.9986 4120.9986095

Page 66
 Exercise 10

4263.8894 4233.8894058
4379.8504 4349.8503868
4498.9650 4468.9650493
4621.3192 4591.3191609
4747.0008 4717.000822
4876.1005 4846.1005288
5008.7112 4978.7112385
5144.9284 5114.9284368
5284.8502 5254.8502058
5428.5773 5398.5772953
5576.2132 5546.2131949
5727.8642 5697.864209
5883.6395 5853.6395327
6043.6513 6013.651331
6208.0148 6178.0148194
6376.8483 6346.8483467
6550.2735 6520.2734803
6728.4151 6698.4150937
6911.4015 6881.4014567
7099.3643 7069.3643273
7292.4390 7262.439047
7490.7646 7460.7646378
7694.4839 7664.4839027
7903.7435 7873.7435285
8118.6942 8088.694191
8339.4907 8309.4906641
8566.2919 8536.2919308
8799.2613 8769.2612977
9038.5665 9008.5665129
9284.3799 9254.3798865
9536.8784 9506.8784146
9796.2439 9766.2439073
10062.6631 10032.663119
10336.3279 10306.327882
10617.4352 10587.435249
10906.1876 10876.187627
11202.7929 11172.792931
11507.4647 11477.464731
11820.4224 11790.422402
12141.8913 12111.891288
12472.1029 12442.10286
12811.2949 12781.294885
13159.7116 13129.711596
13517.6039 13487.603868
13885.2294 13855.229398
14262.8529 14232.852894
14650.7463 14620.74626
15049.1888 15019.188796
15458.4674 15428.467398
15878.8768 15848.876764

Page 67
 Exercise 10

16310.7196 16280.719608
16754.3069 16724.306874
17209.9580 17179.957965
17678.0010 17648.00097
18158.7729 18128.772899
18652.6199 18622.619928
19159.8977 19129.89765
19680.9713 19650.971326
20216.2162 20186.216152
20766.0175 20736.017526
21330.7713 21300.771331
21910.8842 21880.884212
22506.7739 22476.773876
23118.8694 23088.86939
23747.6115 23717.611489
24393.4529 24363.452894
25056.8586 25026.858638
25738.3064 25708.306404
26438.2869 26408.286862
27157.3040 27127.304028
========= ========= =========

Page 68
 Exercise 10

s of n and the binomial price

Page 69
 Exercise 10 中文

二项式价格收敛于到布莱克-斯科尔斯价格
注意电子表中 n <= 500

Sigma 30% 布莱克-斯科尔斯价格的计算

均值 10% 注意 T = 1 (否则变得非常复杂)
无风险利率 10%
n--一段时间的子时间段数 10 S, 当前股票价格
Delta, Dt 0.1 X, 执行价格

上涨 1.1106 布莱克-斯科尔斯看涨期权价格
下跌 0.9186 二项式期权那价格
R--1+利率 1.0101
qu 0.4716
qd 0.5185

(1) (2) (3)

上涨 下跌 路径的现值因素
数 数 =(qu)ups*(qd)(n-ups)
0 1 0.0014040759
1 10 0.0012769967
2 45 0.0011614192
3 120 0.0010563022
4 210 0.0009606991
5 252 0.0008737488
6 210 0.0007946682
7 120 0.0007227449
8 45 0.0006573312
9 10 0.0005978379
10 1 0.0005437292
1.09E+22 6.74934344833938E-150
4.46E+23 6.65939623725479E-150
1.67E+25 6.57064773547338E-150
5.83E+26 6.4830819680252E-150
1.89E+28 6.3966831728357E-150
5.72E+29 6.31143579788846E-150
1.63E+31 6.22732449842581E-150
4.37E+32 6.14433413418675E-150
1.11E+34 6.06244976668165E-150
2.67E+35 5.98165665650326E-150
6.1E+36 5.90194026067362E-150
1.33E+38 5.82328623002622E-150
2.76E+39 5.7456804066232E-150
5.48E+40 5.6691088212068E-150
1.04E+42 5.5935576906849E-150
1.91E+43 5.51901341565002E-150
3.35E+44 5.44546257793138E-150
5.66E+45 5.3728919381796E-150
9.21E+46 5.30128843348359E-150
1.45E+48 5.23063917501917E-150

Page 70
Exercise 10 中文

2.19E+49 5.16093144572907E-150
3.21E+50 5.09215269803379E-150
4.55E+51 5.02429055157305E-150
6.26E+52 4.95733279097726E-150
8.33E+53 4.89126736366873E-150
1.08E+55 4.82608237769215E-150
1.35E+56 4.76176609957406E-150
1.64E+57 4.69830695221074E-150
1.95E+58 4.63569351278432E-150
2.24E+59 4.57391451070664E-150
2.52E+60 4.51295882559054E-150
2.75E+61 4.4528154852481E-150
2.93E+62 4.39347366371568E-150
3.04E+63 4.33492267930518E-150
3.08E+64 4.27715199268132E-150
3.05E+65 4.22015120496451E-150
2.95E+66 4.16391005585908E-150
2.78E+67 4.10841842180632E-150
2.57E+68 4.05366631416229E-150
2.31E+69 3.99964387739976E-150
2.04E+70 3.94634138733428E-150
1.76E+71 3.89374924937369E-150
1.49E+72 3.84185799679118E-150
1.23E+73 3.79065828902117E-150
1E+74 3.74014090997802E-150
7.95E+74 3.69029676639711E-150
6.19E+75 3.64111688619801E-150
4.73E+76 3.5925924168695E-150
3.54E+77 3.54471462387608E-150
2.6E+78 3.49747488908575E-150
1.88E+79 3.45086470921869E-150
1.33E+80 3.40487569431668E-150
9.25E+80 3.35949956623286E-150
6.31E+81 3.31472815714167E-150
4.24E+82 3.27055340806859E-150
2.79E+83 3.2269673674395E-150
1.81E+84 3.18396218964942E-150
1.15E+85 3.14153013365022E-150
7.21E+85 3.09966356155726E-150
4.44E+86 3.05835493727452E-150
2.69E+87 3.0175968251381E-150
1.6E+88 2.97738188857776E-150
9.39E+88 2.93770288879635E-150
5.42E+89 2.89855268346676E-150
3.08E+90 2.85992422544634E-150
1.72E+91 2.82181056150834E-150
9.48E+91 2.78420483109034E-150
5.14E+92 2.74710026505934E-150
2.75E+93 2.71049018449326E-150
1.44E+94 2.67436799947876E-150

Page 71
Exercise 10 中文

7.49E+94 2.638727207925E-150
3.83E+95 2.60356139439327E-150
1.93E+96 2.56886422894219E-150
9.57E+96 2.53462946598829E-150
4.68E+97 2.50085094318182E-150
2.26E+98 2.46752258029745E-150
1.08E+99 2.43463837813989E-150
5.05E+99 2.40219241746395E-150
2.3E+100 2.37017885790912E-150
1.1E+101 2.33859193694823E-150
4.8E+101 2.30742596885023E-150
2.1E+102 2.2766753436567E-150
9.4E+102 2.2463345261721E-150
4.1E+103 2.21639805496734E-150
1.7E+104 2.18686054139679E-150
7.3E+104 2.15771666862825E-150
3E+105 2.12896119068593E-150
1.3E+106 2.10058893150617E-150
5.1E+106 2.0725947840057E-150
2E+107 2.04497370916239E-150
8.1E+107 2.01772073510819E-150
3.2E+108 1.99083095623419E-150
1.2E+109 1.96429953230758E-150
4.7E+109 1.93812168760044E-150
1.8E+110 1.91229271003002E-150
6.6E+110 1.88680795031062E-150
2.4E+111 1.86166282111669E-150
8.8E+111 1.83685279625709E-150
3.2E+112 1.81237340986034E-150
1.1E+113 1.7882202555708E-150
3.9E+113 1.76438898575549E-150
1.4E+114 1.7408753107215E-150
4.7E+114 1.71767499794382E-150
1.6E+115 1.69478387130353E-150
5.4E+115 1.67219781033601E-150
1.8E+116 1.64991274948931E-150
5.8E+116 1.62792467739232E-150
1.9E+117 1.60622963613268E-150
6.1E+117 1.58482372054438E-150
1.9E+118 1.56370307750484E-150
6.1E+118 1.54286390524126E-150
1.9E+119 1.52230245264639E-150
5.8E+119 1.50201501860324E-150
1.8E+120 1.4819979513189E-150
5.3E+120 1.46224764766721E-150
1.6E+121 1.4427605525402E-150
4.6E+121 1.42353315820812E-150
1.4E+122 1.40456200368808E-150
3.9E+122 1.38584367412104E-150
1.1E+123 1.36737480015715E-150

Page 72
Exercise 10 中文

3.1E+123 1.34915205734922E-150
8.8E+123 1.33117216555434E-150
2.4E+124 1.31343188834345E-150
6.7E+124 1.29592803241875E-150
1.8E+125 1.27865744703891E-150
4.8E+125 1.26161702345193E-150
1.3E+126 1.24480369433556E-150
3.4E+126 1.22821443324516E-150
8.8E+126 1.21184625406894E-150
2.3E+127 1.19569621049046E-150
5.8E+127 1.17976139545827E-150
1.5E+128 1.16403894066263E-150
3.7E+128 1.14852601601924E-150
9.1E+128 1.13321982915977E-150
2.2E+129 1.11811762492926E-150
5.4E+129 1.10321668489017E-150
1.3E+130 1.08851432683306E-150
3.1E+130 1.0740079042938E-150
7.4E+130 1.05969480607714E-150
1.7E+131 1.04557245578677E-150
4E+131 1.0316383113615E-150
9.2E+131 1.01788986461772E-150
2.1E+132 1.00432464079789E-150
4.7E+132 9.90940198125092E-151
1.1E+133 9.77734127363513E-151
2.3E+133 9.64704051384758E-151
5.1E+133 9.51847624739969E-151
1.1E+134 9.39162533237636E-151
2.4E+134 9.2664649352704E-151
5.1E+134 9.14297252687239E-151
1.1E+135 9.02112587821539E-151
2.2E+135 8.90090305657365E-151
4.6E+135 8.78228242151468E-151
9.6E+135 8.66524262100388E-151
1.9E+136 8.54976258756116E-151
3.9E+136 8.4358215344687E-151
7.9E+136 8.32339895202929E-151
1.6E+137 8.21247460387456E-151
3.1E+137 8.10302852332233E-151
6E+137 7.99504100978262E-151
1.1E+138 7.8884926252114E-151
2.2E+138 7.78336419061177E-151
4.2E+138 7.67963678258167E-151
7.8E+138 7.57729172990757E-151
1.5E+139 7.47631061020366E-151
2.7E+139 7.37667524659575E-151
4.9E+139 7.27836770444937E-151
8.9E+139 7.18137028814149E-151
1.6E+140 7.0856655378753E-151
2.9E+140 6.99123622653733E-151

Page 73
Exercise 10 中文

5.1E+140 6.89806535659659E-151
8.9E+140 6.80613615704493E-151
1.5E+141 6.71543208037821E-151
2.7E+141 6.62593679961773E-151
4.5E+141 6.53763420537132E-151
7.7E+141 6.45050840293359E-151
1.3E+142 6.36454370942487E-151
2.2E+142 6.27972465096821E-151
3.6E+142 6.19603595990408E-151
5.8E+142 6.11346257204214E-151
9.4E+142 6.0319896239496E-151
1.5E+143 5.95160245027585E-151
2.4E+143 5.87228658111256E-151
3.8E+143 5.79402773938915E-151
6E+143 5.71681183830279E-151
9.4E+143 5.64062497878281E-151
1.4E+144 5.56545344698879E-151
2.2E+144 5.49128371184204E-151
3.4E+144 5.41810242258998E-151
5.1E+144 5.34589640640295E-151
7.5E+144 5.27465266600307E-151
1.1E+145 5.20435837732472E-151
1.6E+145 5.13500088720614E-151
2.4E+145 5.06656771111184E-151
3.4E+145 4.99904653088536E-151
4.9E+145 4.93242519253194E-151
7E+145 4.8666917040308E-151
9.9E+145 4.80183423317654E-151
1.4E+146 4.73784110544927E-151
1.9E+146 4.67470080191324E-151
2.6E+146 4.61240195714331E-151
3.6E+146 4.55093335717923E-151
4.8E+146 4.49028393750704E-151
6.5E+146 4.43044278106743E-151
8.6E+146 4.37139911629068E-151
1.1E+147 4.31314231515772E-151
1.5E+147 4.25566189128703E-151
1.9E+147 4.19894749804713E-151
2.5E+147 4.14298892669411E-151
3.2E+147 4.08777610453402E-151
4E+147 4.03329909310982E-151
5.1E+147 3.97954808641234E-151
6.3E+147 3.92651340911527E-151
7.8E+147 3.87418551483348E-151
9.6E+147 3.82255498440472E-151
1.2E+148 3.77161252419412E-151
1.4E+148 3.72134896442129E-151
1.7E+148 3.67175525750975E-151
2E+148 3.62282247645837E-151
2.4E+148 3.57454181323442E-151

Page 74
Exercise 10 中文

2.8E+148 3.52690457718818E-151
3.2E+148 3.47990219348853E-151
3.7E+148 3.4335262015795E-151
4.2E+148 3.38776825365733E-151
4.8E+148 3.34262011316785E-151
5.3E+148 3.29807365332386E-151
5.9E+148 3.25412085564233E-151
6.6E+148 3.21075380850099E-151
7.2E+148 3.16796470571426E-151
7.8E+148 3.12574584512812E-151
8.4E+148 3.08408962723367E-151
9E+148 3.04298855379921E-151
9.6E+148 3.00243522652055E-151
1E+149 2.96242234568929E-151
1.1E+149 2.92294270887884E-151
1.1E+149 2.88398920964798E-151
1.1E+149 2.84555483626167E-151
1.1E+149 2.80763267042893E-151
1.2E+149 2.77021588605753E-151
1.2E+149 2.73329774802524E-151
1.2E+149 2.69687161096755E-151
1.1E+149 2.66093091808142E-151
1.1E+149 2.62546919994511E-151
1.1E+149 2.59048007335359E-151
1.1E+149 2.55595724016962E-151
1E+149 2.52189448619E-151
9.6E+148 2.48828568002705E-151
9E+148 2.45512477200492E-151
8.4E+148 2.42240579307062E-151
7.8E+148 2.39012285371962E-151
7.2E+148 2.35827014293565E-151
6.6E+148 2.32684192714477E-151
5.9E+148 2.2958325491833E-151
5.3E+148 2.26523642727946E-151
4.8E+148 2.2350480540487E-151
4.2E+148 2.20526199550234E-151
3.7E+148 2.17587289006942E-151
3.2E+148 2.14687544763159E-151
2.8E+148 2.11826444857094E-151
2.4E+148 2.09003474283038E-151
2E+148 2.06218124898666E-151
1.7E+148 2.03469895333567E-151
1.4E+148 2.00758290899001E-151
1.2E+148 1.98082823498847E-151
9.6E+147 1.9544301154175E-151
7.8E+147 1.92838379854429E-151
6.3E+147 1.90268459596149E-151
5.1E+147 1.87732788174324E-151
4E+147 1.85230909161252E-151
3.2E+147 1.82762372211956E-151

Page 75
Exercise 10 中文

2.5E+147 1.80326732983119E-151
1.9E+147 1.77923553053104E-151
1.5E+147 1.75552399843035E-151
1.1E+147 1.73212846538932E-151
8.6E+146 1.70904472014883E-151
6.5E+146 1.68626860757242E-151
4.8E+146 1.66379602789832E-151
3.6E+146 1.64162293600153E-151
2.6E+146 1.61974534066562E-151
1.9E+146 1.59815930386437E-151
1.4E+146 1.57686094005287E-151
9.9E+145 1.55584641546813E-151
7E+145 1.53511194743898E-151
4.9E+145 1.5146538037052E-151
3.4E+145 1.49446830174568E-151
2.4E+145 1.47455180811555E-151
1.6E+145 1.45490073779221E-151
1.1E+145 1.43551155352992E-151
7.5E+144 1.41638076522317E-151
5.1E+144 1.39750492927841E-151
3.4E+144 1.37888064799421E-151
2.2E+144 1.36050456894964E-151
1.4E+144 1.34237338440087E-151
9.4E+143 1.32448383068573E-151
6E+143 1.30683268763623E-151
3.8E+143 1.28941677799898E-151
2.4E+143 1.27223296686321E-151
1.5E+143 1.25527816109653E-151
9.4E+142 1.23854930878811E-151
5.8E+142 1.22204339869939E-151
3.6E+142 1.20575745972196E-151
2.2E+142 1.18968856034285E-151
1.3E+142 1.17383380811678E-151
7.7E+141 1.15819034914553E-151
4.5E+141 1.14275536756427E-151
2.7E+141 1.12752608503463E-151
1.5E+141 1.11249976024463E-151
8.9E+140 1.09767368841524E-151
5.1E+140 1.08304520081351E-151
2.9E+140 1.06861166427216E-151
1.6E+140 1.05437048071564E-151
8.9E+139 1.04031908669248E-151
4.9E+139 1.02645495291379E-151
2.7E+139 1.01277558379808E-151
1.5E+139 9.9927851702196E-152
7.8E+138 9.85961323076971E-152
4.2E+138 9.72821604832247E-152
2.2E+138 9.59856997103028E-152
1.1E+138 9.47065166224916E-152
6E+137 9.34443809633816E-152

Page 76
Exercise 10 中文

3.1E+137 9.21990655451463E-152
1.6E+137 9.09703462076481E-152
7.9E+136 8.97580017780886E-152
3.9E+136 8.85618140311972E-152
1.9E+136 8.73815676499498E-152
9.6E+135 8.6217050186811E-152
4.6E+135 8.50680520254932E-152
2.2E+135 8.39343663432252E-152
1.1E+135 8.2815789073523E-152
5.1E+134 8.1712118869458E-152
2.4E+134 8.06231570674136E-152
1.1E+134 7.95487076513251E-152
5.1E+133 7.84885772173966E-152
2.3E+133 7.74425749392877E-152
1.1E+133 7.6410512533764E-152
4.7E+132 7.5392204226806E-152
2.1E+132 7.4387466720169E-152
9.2E+131 7.3396119158389E-152
4E+131 7.24179830962282E-152
1.7E+131 7.14528824665544E-152
7.4E+130 7.05006435486485E-152
3.1E+130 6.95610949369343E-152
1.3E+130 6.86340675101247E-152
5.4E+129 6.77193944007801E-152
2.2E+129 6.68169109652711E-152
9.1E+128 6.59264547541425E-152
3.7E+128 6.50478654828722E-152
1.5E+128 6.4180985003019E-152
5.8E+127 6.33256572737561E-152
2.3E+127 6.24817283337827E-152
8.8E+126 6.16490462736111E-152
3.4E+126 6.08274612082222E-152
1.3E+126 6.00168252500858E-152
4.8E+125 5.92169924825409E-152
1.8E+125 5.84278189335297E-152
6.7E+124 5.76491625496825E-152
2.4E+124 5.68808831707479E-152
8.8E+123 5.61228425043633E-152
3.1E+123 5.53749041011622E-152
1.1E+123 5.46369333302123E-152
3.9E+122 5.39087973547825E-152
1.4E+122 5.31903651084311E-152
4.6E+121 5.24815072714141E-152
1.6E+121 5.17820962474069E-152
5.3E+120 5.10920061405367E-152
1.8E+120 5.0411112732721E-152
5.8E+119 4.97392934613081E-152
1.9E+119 4.9076427397015E-152
6.1E+118 4.84223952221606E-152
1.9E+118 4.77770792091874E-152

Page 77
Exercise 10 中文

6.1E+117 4.71403631994707E-152
1.9E+117 4.65121325824096E-152
5.8E+116 4.58922742747969E-152
1.8E+116 4.52806767004635E-152
5.4E+115 4.46772297701948E-152
1.6E+115 4.40818248619139E-152
4.7E+114 4.34943548011298E-152
1.4E+114 4.29147138416454E-152
3.9E+113 4.23427976465229E-152
1.1E+113 4.1778503269303E-152
3.2E+112 4.12217291354742E-152
8.8E+111 4.0672375024189E-152
2.4E+111 4.01303420502244E-152
6.6E+110 3.95955326461813E-152
1.8E+110 3.90678505449231E-152
4.7E+109 3.85472007622468E-152
1.2E+109 3.80334895797858E-152
3.2E+108 3.75266245281401E-152
8.1E+107 3.7026514370232E-152
2E+107 3.65330690848828E-152
5.1E+106 3.60461998506087E-152
1.3E+106 3.5565819029633E-152
3E+105 3.50918401521109E-152
7.3E+104 3.46241779005648E-152
1.7E+104 3.41627480945265E-152
4.1E+103 3.37074676753853E-152
9.4E+102 3.32582546914363E-152
2.1E+102 3.28150282831296E-152
4.8E+101 3.2377708668515E-152
1.1E+101 3.1946217128881E-152
2.3E+100 3.15204759945856E-152
5.05E+99 3.11004086310749E-152
1.08E+99 3.06859394250894E-152
2.26E+98 3.0276993771053E-152
4.68E+97 2.98734980576438E-152
9.57E+96 2.94753796545438E-152
1.93E+96 2.90825668993656E-152
3.83E+95 2.86949890847528E-152
7.49E+94 2.83125764456521E-152
1.44E+94 2.7935260146756E-152
2.75E+93 2.7562972270112E-152
5.14E+92 2.71956458028971E-152
9.48E+91 2.68332146253554E-152
1.72E+91 2.64756134988964E-152
3.08E+90 2.61227780543518E-152
5.42E+89 2.57746447803888E-152
9.39E+88 2.54311510120783E-152
1.6E+88 2.50922349196145E-152
2.69E+87 2.47578354971856E-152
4.44E+86 2.44278925519928E-152

Page 78
Exercise 10 中文

7.21E+85 2.4102346693415E-152
1.15E+85 2.37811393223188E-152
1.81E+84 2.346421262051E-152
2.79E+83 2.31515095403267E-152
4.24E+82 2.28429737943701E-152
6.31E+81 2.25385498453729E-152
9.25E+80 2.22381828962022E-152
1.33E+80 2.19418188799964E-152
1.88E+79 2.16494044504322E-152
2.6E+78 2.13608869721228E-152
3.54E+77 2.10762145111432E-152
4.73E+76 2.07953358256817E-152
6.19E+75 2.05182003568165E-152
7.95E+74 2.0244758219415E-152
1E+74 1.99749601931542E-152
1.23E+73 1.97087577136609E-152
1.49E+72 1.944610286377E-152
1.76E+71 1.91869483648993E-152
2.04E+70 1.89312475685394E-152
2.31E+69 1.86789544478566E-152
2.57E+68 1.84300235894078E-152
2.78E+67 1.81844101849664E-152
2.95E+66 1.79420700234566E-152
3.05E+65 1.77029594829948E-152
3.08E+64 1.74670355230383E-152
3.04E+63 1.72342556766372E-152
2.93E+62 1.70045780427906E-152
2.75E+61 1.67779612789044E-152
2.52E+60 1.65543645933491E-152
2.24E+59 1.63337477381177E-152
1.95E+58 1.61160710015806E-152
1.64E+57 1.59012952013374E-152
1.35E+56 1.56893816771641E-152
1.08E+55 1.54802922840544E-152
8.33E+53 1.52739893853528E-152
6.26E+52 1.50704358459805E-152
4.55E+51 1.4869595025751E-152
3.21E+50 1.46714307727743E-152
2.19E+49 1.44759074169497E-152
1.45E+48 1.42829897635454E-152
9.21E+46 1.40926430868629E-152
5.66E+45 1.39048331239863E-152
3.35E+44 1.37195260686153E-152
1.91E+43 1.35366885649796E-152
1.04E+42 1.33562877018349E-152
5.48E+40 1.31782910065387E-152
2.76E+39 1.30026664392052E-152
1.33E+38 1.28293823869383E-152
6.1E+36 1.26584076581405E-152
2.67E+35 1.24897114768991E-152

Page 79
 Exercise 10 中文

1.11E+34 1.23232634774459E-152
4.37E+32 1.21590336986917E-152
1.63E+31 1.19969925788329E-152
5.72E+29 1.18371109500303E-152
1.89E+28 1.16793600331591E-152
5.83E+26 1.15237114326283E-152
1.67E+25 1.13701371312696E-152
4.46E+23 1.12186094852941E-152
1.09E+22 1.10691012193164E-152
2.46E+20 1.09215854214449E-152
5.01E+18 1.07760355384377E-152
9.16E+16 1.06324253709229E-152
1.49E+15 1.04907290686826E-152
2.11E+13 1.03509211259998E-152
2.55E+11 1.02129763770673E-152
2.57E+09 1.00768699914579E-152
20708500 9.94257746965464E-153
124750 9.81007463864106E-153
500 9.67933764754979E-153
1 9.55034296336945E-153
========= ======== ======== =========

Page 80
 Exercise 10 中文

斯价格
敏感性表:n值和二项式价格

二项式 布莱克-斯科尔斯
价格 价格
#VALUE!
30.0000 10 5.0977 #VALUE!
30.0000 20 5.0407 #VALUE!
30 5.0099 #VALUE!
#VALUE! 40 5.0073 #VALUE!
5.0977 50 5.0219 #VALUE!
60 5.0281 #VALUE!
70 5.0300 #VALUE!
80 5.0298 #VALUE!
90 5.0283 #VALUE!
(4) (5) (6) 100 5.0262 #VALUE!
路径上的 路径上的 折现现金流 110 5.0237 #VALUE!
股票价格 期权现金流 =(2)*(3)*(5) 120 5.0211 #VALUE!
12.8393 0 0 130 5.0183 #VALUE!
15.5219 0 0 140 5.0155 #VALUE!
18.7649 0 0 150 5.0163 #VALUE!
22.6855 0 0 160 5.0188 #VALUE!
27.4252 0 0 170 5.0207 #VALUE!
33.1551 3.1551275423 0.6947108374 180 5.0220 #VALUE!
40.0823 10.082267971 1.6825320745 190 5.0228 #VALUE!
48.4567 18.456704129 1.6007386288 200 5.0234 #VALUE!
58.5808 28.580821244 0.8454179301 250 5.0228 #VALUE!
70.8202 40.82018225 0.2440385209 300 5.0196 #VALUE!
85.6167 55.61672758 0.0302404385 350 5.0197 #VALUE!
0.0544 0 400 5.0217 #VALUE!
0.0559 0 500 5.0211 #VALUE!
0.0574 0
0.0589 0
0.0605 0
0.0622 0
0.0639 0
0.0656 0
0.0674 0
0.0692 0
0.0711 0
0.0730 0
0.0750 0
0.0771 0
0.0792 0
0.0813 0
0.0835 0
0.0858 0
0.0881 0
0.0905 0

Page 81
 Exercise 10 中文

0.0930 0
0.0955 0
0.0981 0
0.1008 0
0.1035 0
0.1063 0
0.1092 0
0.1122 0
0.1153 0
0.1184 0
0.1216 0
0.1249 0
0.1283 0
0.1318 0
0.1354 0
0.1391 0
0.1429 0
0.1467 0
0.1507 0
0.1548 0
0.1591 0
0.1634 0
0.1678 0
0.1724 0
0.1771 0
0.1819 0
0.1868 0
0.1919 0
0.1971 0
0.2025 0
0.2080 0
0.2137 0
0.2195 0
0.2254 0
0.2316 0
0.2379 0
0.2443 0
0.2510 0
0.2578 0
0.2648 0
0.2720 0
0.2794 0
0.2870 0
0.2948 0
0.3028 0
0.3111 0
0.3195 0
0.3282 0
0.3372 0
0.3463 0

Page 82
 Exercise 10 中文

0.3557 0
0.3654 0
0.3754 0
0.3856 0
0.3960 0
0.4068 0
0.4179 0
0.4292 0
0.4409 0
0.4529 0
0.4652 0
0.4779 0
0.4909 0
0.5042 0
0.5179 0
0.5320 0
0.5465 0
0.5614 0
0.5766 0
0.5923 0
0.6084 0
0.6250 0
0.6420 0
0.6594 0
0.6774 0
0.6958 0
0.7147 0
0.7341 0
0.7541 0
0.7746 0
0.7957 0
0.8173 0
0.8395 0
0.8624 0
0.8858 0
0.9099 0
0.9347 0
0.9601 0
0.9862 0
1.0130 0
1.0406 0
1.0689 0
1.0979 0
1.1278 0
1.1585 0
1.1900 0
1.2223 0
1.2556 0
1.2897 0
1.3248 0

Page 83
 Exercise 10 中文

1.3608 0
1.3978 0
1.4359 0
1.4749 0
1.5150 0
1.5562 0
1.5985 0
1.6420 0
1.6867 0
1.7325 0
1.7797 0
1.8281 0
1.8778 0
1.9288 0
1.9813 0
2.0352 0
2.0905 0
2.1474 0
2.2058 0
2.2658 0
2.3274 0
2.3907 0
2.4557 0
2.5225 0
2.5911 0
2.6616 0
2.7339 0
2.8083 0
2.8847 0
2.9631 0
3.0437 0
3.1265 0
3.2115 0
3.2989 0
3.3886 0
3.4807 0
3.5754 0
3.6726 0
3.7725 0
3.8751 0
3.9805 0
4.0887 0
4.1999 0
4.3142 0
4.4315 0
4.5520 0
4.6758 0
4.8030 0
4.9336 0
5.0678 0

Page 84
 Exercise 10 中文

5.2056 0
5.3472 0
5.4926 0
5.6420 0
5.7954 0
5.9530 0
6.1149 0
6.2812 0
6.4520 0
6.6275 0
6.8077 0
6.9929 0
7.1831 0
7.3784 0
7.5791 0
7.7852 0
7.9969 0
8.2144 0
8.4378 0
8.6673 0
8.9030 0
9.1451 0
9.3938 0
9.6493 0
9.9117 0
10.1813 0
10.4582 0
10.7426 0
11.0348 0
11.3349 0
11.6431 0
11.9598 0
12.2851 0
12.6192 0
12.9623 0
13.3149 0
13.6770 0
14.0489 0
14.4310 0
14.8235 0
15.2266 0
15.6407 0
16.0661 0
16.5030 0
16.9519 0
17.4129 0
17.8864 0
18.3729 0
18.8725 0
19.3858 0

Page 85
 Exercise 10 中文

19.9130 0
20.4546 0
21.0109 0
21.5823 0
22.1692 0
22.7721 0
23.3915 0
24.0276 0
24.6811 0
25.3523 0
26.0418 0
26.7500 0
27.4775 0
28.2248 0
28.9924 0
29.7809 0
30.5908 0.5907885075
31.4227 1.4227373471
32.2773 2.2773119152
33.1551 3.1551275423
34.0568 4.0568162935
34.9830 4.9830274237
35.9344 5.934427845
36.9117 6.9117026068
37.9156 7.915555389
38.9467 8.9467090091
40.0059 10.005905942
41.0939 11.093908856
42.2115 12.2115011594
43.3595 13.359487567
44.5387 14.538694679
45.7500 15.749971576
46.9942 16.994190428
48.2722 18.272247127
49.5851 19.58506193
50.9336 20.93358012
52.3188 22.318772688
53.7416 23.741637032
55.2032 25.203197677
56.7045 26.704507009
58.2466 28.246646035
59.8307 29.830725163
61.4579 31.457884998
63.1293 33.129297165
64.8462 34.846165153
66.6097 36.609725182
68.4212 38.421247091
70.2820 40.282035253
72.1934 42.193429517
74.1568 44.156806168

Page 86
 Exercise 10 中文

76.1736 46.173578924
78.2452 48.245199948
80.3732 50.373160896
82.5590 52.558993992
84.8043 54.80427313
87.1106 57.1106150085
89.4797 59.479680293
91.9132 61.913174813
94.4129 64.41285079
96.9805 66.980508097
99.6180 69.617995561
102.3272 72.327212285
105.1101 75.1101090219
107.9687 77.968689579
110.9050 80.905012256
113.9212 83.9211913336
117.0194 87.01939859
120.2019 90.201864869
123.4709 93.470881684
126.8288 96.828802868
130.2780 100.27804627
133.8211 103.82109549
137.4605 107.46050168
141.1989 111.19888537
145.0389 115.03893836
148.9834 118.98342565
153.0352 123.03518745
157.1971 127.19714119
161.4723 131.47228366
165.8637 135.86369315
170.3745 140.37453167
175.0080 145.00804721
179.7676 149.7675761
184.6565 154.65654542
189.6785 159.67847543
194.8370 164.83698213
200.1358 170.13577987
205.5787 175.57868403
211.1696 181.16961372
216.9126 186.91259465
222.8118 192.81176202
228.8714 198.87136349
235.0958 205.09576222
241.4894 211.48944006
248.0570 218.05700073
254.8032 224.80317316
261.7328 231.73281488
268.8509 238.85091553
276.1626 246.16260046
283.6731 253.67313438

Page 87
 Exercise 10 中文

291.3879 261.38792523
299.3125 269.31252796
307.4526 277.45264865
315.8141 285.81414852
324.4030 294.40304823
333.2255 303.22553214
342.2880 312.28795284
351.5968 321.59683565
361.1589 331.15888336
370.9810 340.98098108
381.0702 351.07020113
391.4338 361.43380819
402.0793 372.0792645
413.0142 383.01423525
424.2466 394.24659409
435.7844 405.78442881
447.6360 417.63604714
459.8100 429.80998277
472.3150 442.31500144
485.1601 455.16010733
498.3545 468.35454945
511.9078 481.90782837
525.8297 495.82970305
540.1302 510.13019783
554.8196 524.81960968
569.9085 539.90851562
585.4078 555.40778032
601.3286 571.32856391
617.6823 587.68233004
634.4809 604.48085413
651.7362 621.73623185
669.4609 639.46088781
687.6676 657.66758453
706.3694 676.36943162
725.5799 695.57989522
745.3128 715.31280768
765.5824 735.58237757
786.4032 756.40319984
807.7903 777.79026639
829.7590 799.75897683
852.3251 822.32514958
875.5050 845.50503326
899.3153 869.31531839
923.7731 893.77314939
948.8961 918.89613697
974.7024 944.70237076
1001.2104 971.21043237
1028.4394 998.43940874
1056.4089 1026.4089059
1085.1391 1055.1390631

Page 88
 Exercise 10 中文

1114.6506 1084.6505674
1144.9647 1114.9646682
1176.1032 1146.103193
1208.0886 1178.0885629
1240.9438 1210.9438088
1274.6926 1244.6925878
1309.3592 1279.3592006
1344.9686 1314.9686086
1381.5465 1351.546452
1419.1191 1389.1190686
1457.7135 1427.7135122
1497.3576 1467.3575726
1538.0798 1508.079795
1579.9095 1549.9095014
1622.8768 1592.8768109
1667.0127 1637.0126617
1712.3488 1682.3488337
1758.9180 1728.9179709
1806.7536 1776.753605
1855.8902 1825.8901797
1906.3631 1876.3630755
1958.2086 1928.2086351
2011.4642 1981.4641895
2066.1681 2036.168085
2122.3597 2092.3597108
2180.0795 2150.0795273
2239.3691 2209.3690953
2300.2711 2270.2711057
2362.8294 2332.8294107
2427.0891 2397.0890549
2493.0963 2463.0963081
2560.8987 2530.8986984
2630.5450 2600.5450463
2702.0855 2672.0855004
2775.5716 2745.5715727
2851.0562 2821.0561765
2928.5937 2898.5936638
3008.2399 2978.2398652
3090.0521 3060.0521292
3174.0894 3144.0893642
3260.4121 3230.4120807
3349.0824 3319.0824347
3440.1643 3410.1642728
3533.7232 3503.7231778
3629.8265 3599.8265161
3728.5435 3698.5434863
3829.9452 3799.945169
3934.1046 3904.1045775
4041.0967 4011.0967114
4150.9986 4120.9986095

Page 89
 Exercise 10 中文

4263.8894 4233.8894058
4379.8504 4349.8503868
4498.9650 4468.9650493
4621.3192 4591.3191609
4747.0008 4717.000822
4876.1005 4846.1005288
5008.7112 4978.7112385
5144.9284 5114.9284368
5284.8502 5254.8502058
5428.5773 5398.5772953
5576.2132 5546.2131949
5727.8642 5697.864209
5883.6395 5853.6395327
6043.6513 6013.651331
6208.0148 6178.0148194
6376.8483 6346.8483467
6550.2735 6520.2734803
6728.4151 6698.4150937
6911.4015 6881.4014567
7099.3643 7069.3643273
7292.4390 7262.439047
7490.7646 7460.7646378
7694.4839 7664.4839027
7903.7435 7873.7435285
8118.6942 8088.694191
8339.4907 8309.4906641
8566.2919 8536.2919308
8799.2613 8769.2612977
9038.5665 9008.5665129
9284.3799 9254.3798865
9536.8784 9506.8784146
9796.2439 9766.2439073
10062.6631 10032.663119
10336.3279 10306.327882
10617.4352 10587.435249
10906.1876 10876.187627
11202.7929 11172.792931
11507.4647 11477.464731
11820.4224 11790.422402
12141.8913 12111.891288
12472.1029 12442.10286
12811.2949 12781.294885
13159.7116 13129.711596
13517.6039 13487.603868
13885.2294 13855.229398
14262.8529 14232.852894
14650.7463 14620.74626
15049.1888 15019.188796
15458.4674 15428.467398
15878.8768 15848.876764

Page 90
 Exercise 10 中文

16310.7196 16280.719608
16754.3069 16724.306874
17209.9580 17179.957965
17678.0010 17648.00097
18158.7729 18128.772899
18652.6199 18622.619928
19159.8977 19129.89765
19680.9713 19650.971326
20216.2162 20186.216152
20766.0175 20736.017526
21330.7713 21300.771331
21910.8842 21880.884212
22506.7739 22476.773876
23118.8694 23088.86939
23747.6115 23717.611489
24393.4529 24363.452894
25056.8586 25026.858638
25738.3064 25708.306404
26438.2869 26408.286862
27157.3040 27127.304028
========= ========= =========

Page 91
 Graph for Exercise 10

Exercise 17.10: Convergence of Binomial to Black-Scholes

5.1200

5.1000

5.0800

5.0600
Option prices

Binomial price
5.0400 Black-Scholes price #VALUE!

5.0200

5.0000

4.9800

4.9600
0 100 200 300 400 500 600
Number of periods, n

Page 92
 Graph for Exercise 10 中文

练习 17.10: 二项式价格收敛于布莱克 - 斯科尔斯价格

5.1200

5.1000

5.0800

5.0600
期权价格

二项式价格
5.0400
布莱克 - 斯科尔斯价格 #VALUE!

5.0200

5.0000

4.9800

4.9600
0 100 200 300 400 500 600
时期数 , n

Page 93
 Exercise 11

Alternative Formulation of Binomial Option Pricing Model

S 50 R 1.001001
X 52 U 1.041019
T 1.0000 D 0.960982
Sigma 40%
Interest 10%
n 100

The VBA functions are used to price the binomial

options and to price the Black-Scholes options.

European binomial call #VALUE! <-- There's a slightly different function, defined as EurBinCall2
European binomial put #VALUE! <-- EurBinPut2

Black-Scholes call #VALUE! #VALUE!

Black-Scholes put #VALUE! #VALUE!

Page 94
 Exercise 11 中文

二项式期权定价模型的另一个公式
S 50 R 1.001001
X 52 U 1.041019
T 1.0000 D 0.960982
Sigma 40%
利率 10%
n 100

VBA函数用来定价二项式
期权和定价布莱克-斯科尔斯期权.

欧洲式二项式看涨期权价格 #VALUE! <-- 有一个稍微不同的方程，定义为EurBinCall2

欧洲式二项式看跌期权价格 #VALUE! <-- EurBinPut2

布莱克-斯科尔斯看涨期权价格 #VALUE! #VALUE!

布莱克-斯科尔斯看跌期权价格 #VALUE! #VALUE!

Page 95
 TIME-DEPENDENT EXERCISE PRICES

Initial stock price 50 Exercise prices

Up 1.25 Date 1 55
Down 0.90 Date 2 113.3
Interest rate 1.06 Date 3 233.398

State prices
qu 0.4313
qd 0.5121

Check
1/(qu+qd) 1.06
qu*Up+qd*Down 1

Stock price 97.656

78.125
62.500 70.313
50.000 56.250
45.000 50.625
40.500
36.450

Date 0 Date 1 Date 2 Date 3

Value at each node 0.000

0.000
7.500 0.000
3.235 0.000
0.000 0.000
0.000
=MAX(qu*F29+qd*F31,MAX(D20-E4,0)) 0.000

Early exercise?
no
yes
no =IF(qu*H26+qd*H28>=
no MAX(F17-E5,0),"no","
no

Illustration--Date 3 payoffs 0.0000

0.0000

0.0000

0.0000
 exercise 0.000
PV 0.000

Illustration--Date 2 & 3 market values 0.000

0.000
0.000
0.000
0.000
0.000
0.000
exercise 0.000
PV 0.000
 =MAX(qu*H26+qd*H28,MAX(F17-E5,0))

=IF(qu*H26+qd*H28>=
MAX(F17-E5,0),"no","yes")
 TIME-DEPENDENT 执行价格S

初始股票价格 50 执行价格s
上涨 1.25 Date 1 55
下跌 0.90 Date 2 113.3
利率 1.06 Date 3 233.398

状态价格
qu 0.4313
qd 0.5121

Check
1/(qu+qd) 1.06
qu*上涨+qd*下跌 1

股票价格 97.656
78.125
62.500 70.313
50.000 56.250
45.000 50.625
40.500
36.450

Date 0 Date 1 Date 2 Date 3

每个节点的价值 0.000
0.000
7.500 0.000
3.235 0.000
0.000 0.000
0.000
=MAX(qu*F29+qd*F31,MAX(D20-E4,0)) 0.000

提前执行?
no
yes
no =IF(qu*H26+qd*H28>=
no MAX(F17-E5,0),"no","
no

说明--第3天的现金流 0.0000

0.0000

0.0000

0.0000
 执行 0.000
PV 0.000

说明--第2 & 3天的市场价值 0.000

0.000
0.000
0.000
0.000
0.000
0.000
执行 0.000
PV 0.000
 =MAX(qu*H26+qd*H28,MAX(F17-E5,0))

=IF(qu*H26+qd*H28>=
MAX(F17-E5,0),"no","yes")
 PRICING THE BISCO STOCK DERIVATIVE
Up, U 1.50
Down, D 0.80 State prices
qu 0.3704 #VALUE!
Initial stock price 3 qd 0.5556 #VALUE!
Interest rate, R 1.08
Exercise price 40

Date 2 prices and security payoffs

Bisco Security State
Bisco moves:
price pays off price
Up, Up 6.75 268 #VALUE! 0.1372
Up, Down 3.6 7 #VALUE! 0.4115
Down, Down 1.92 0 #VALUE! 0.3086

Value of Bisco
derivative 39.440 #VALUE!
Check
1/(qu+qd) 1.08
qu*U+qd*D 1
 定价Bisco股票衍生物
上涨, U 1.50
下跌, D 0.80 状态价格
qu 0.3704
初始股票价格 3 qd 0.5556
利率, R 1.08
执行价格 40

第 2 天价格和现金流
Bisco运动: Bisco 价格 证券现金流 状态价格
上涨, 上涨 6.75 268 #VALUE! 0.1372
上涨, 下跌 3.6 7 #VALUE! 0.4115
下跌, 下跌 1.92 0 #VALUE! 0.3086

Bisco衍生物价值 39.440 #VALUE!

 检查
#VALUE! 1/(qu+qd) 1.08
#VALUE! qu*U+qd*D 1