excel 求解二叉树模型

Pricing of an Option

Valuation of Options using Binomial & Black Scholes Formula, To review the illustration, change the values in the red font

Type Put Option

Spot50

Strike50

Risk-free10%

Std. dev.40%

Maturity (Year)0.42

Black-Scholes formula Binomial Tree

d10.290Timestep0.08

d20.032u 1.12

N(d1)0.614d0.89

N(d2)0.513e(Rf*Time) 1.01

S*N(d1)30.71p0.51

X*N(d2)*exp(-r*t)24.60q0.49

Price of European Call option 6.12

Price of European Put Option 4.08

Time (Years)00.0833330.166667

62.99

0.64

0.64

S up = S*u56.12

2.11

2.16

5050.00

4.32 3.67

4.49 3.77

S down = S*d44.55

6.66

6.96

39.69

9.86

10.36

e the values in the red font

0.250.3333330.416667

89.07

0.00

79.35

0.00[ p × Option up + (1-p) × Option down] × exp (- r × t)

0.00Max [ (K – S), p × Option up + (1-p) × Option down] × exp (- r × t)]

70.7070.70

0.000.00

0.00

62.99

0.00Legend

0.00Asset Price

56.1256.12European Option Pay-off

1.300.00American Option Pay-off

1.30

50.00

2.66

2.66

44.5544.55

6.18 5.45

6.38

39.69

9.90

10.31

35.3635.36

13.8114.64

14.64

31.50

18.08

18.50

28.07

21.93

Option Pay-off American Option Pay-off