Acrobat File Edit View Window Help 0 2 Q Mon Nov 11 4:20 PM BIN318B.Pr.pdf X + Create Sign in All tools Edit Convert E-Sign Find text or tools Q | A $ 6| Q 2 Al Assistant All tools X Student's name: Copyright @ 2015-2017 by Avi Bick Student number Export a PDF Problem BIN-318B LR1711 We are given a three-period binomial tree for the price of a non-dividend-paying stock. Edit a PDF With our usual notation, S(0) = $50 u = 1.02 The risk-neutralized probability: R = 1.0125 d = 0.96 It = ............ Create a PDF e, The tree for S: 53.060 Combine files 52.020 51.000 49.939 50.000 48.960 ED Organize pages 48.000 47.002 46.080 44.237 Al Assistant t = 0 t = 1 t = 2 t = 3 Complete the following binomial trees. By Generative summary (a) A security which pays [S(3)] in cash. Ex Request e-signatures A Scan & OCR 1,956.89 Protect a PDF (b) A share-or-nothing call which expires at time 3, with strike K = 48 53.060 Redact a PDF Compress a PDF 1 Prepare a form (c ) A security which pays max{1/2S(2) + 1/2S(3) - K,0} 69.9% 1 at time 3, where K = 4 yuu (This is a call on the average View more of the last two prices.) uud a udu udd duu Convert, edit and e-sign PDF forms & agreements. dud ddu O Free trial ddd NOV 17 cricutPreview File Edit View Go Tools Window ~ Q Mon Nov 11 4:21 PM E v Screenshot 2024-11-11 at 4.19.39 PM 2 documents, 2 total pages 1 Q Q " S . ' A Q Search Screenshot 24-11...0 PM (2) 16.2 BINO31.PrSol.VB.pdf Download 16.2 BINO31.PrSol.VB.pdf (1.11 MB) Screenshot Screenshot 20...at 4.19.39 PM 24-11...9.00 PM Given: Length of period in years: T = 0.739726 = 270 days (using a 365 day year) Number of sub-periods n = SE 162.238 Length of subinterval in years: h = 0.246575 = T= 90 days C= 52.238 Continuously compounded rate: 0.06 Binomial S = 138.071 Screenshot nitial stock price: S(0) = 100 formula C= 29.686 24-11...9.22 AM Volatility parameter: o= 0.30 S= 117.503 120.437 The drift parameter m= 0.05 C = 16.304 C = 10.437 Call's strike price K = 110 Screenshot 20...at 4.19.55 PM S = 100.000 S = 102.496 Calculated 8.740 4.844 c = max(S-K,0) FV($1) per period: R(0,h) = R= 1.014905 = exp(r . h) S= 87.228 S= 89.406 Up-factor: U= 1.175035 = exp(m . h + o. h1/2) C= 2.249 C = 0.000 Screenshot 24-11...9.54 AM Down-factor: 0.872284 = exp(m . h - o . h1/2) S = 76.088 Risk-neutralized probability : TT = 0.471082 = (R- d)/(u -d) C = 0.000 66.370 0.000 Note: The spreadsheet calculations are done without rounding, but the display (cell formatting) uses rounding. To compare, the B-S formula gives, bloxPlayerInstal For example, the stock price at the down-node is actually for the time-0 price: First complete c ler 87.2283 .... d = -0.0684 at expiration and this is used for the next step of S. N (d 1) = 0.4727 then go backward. If the student rounds at each step, the results may be different d2 = 0.3264 ox.dmg by a few cents N(d2) = 0.3721 Call's price: 8.12 To be discussed when we cover hedging Time-0 delta of the call, in the above binomial tree, is 0.4643 It may be regarded as an approximation of delta according to the B-S model = N(d1) = 0.4727 Screenshot 1...0.24 PM ourvenshot 2024-11...19.39 PM NOV 4 cricutPreview File Edit View Go Tools Window 2 Q Mon Nov 11 4:22 PM Screenshot 2024-11-11 at 4.19.55 PM 2 documents, 2 total pages 1 Q Q [ S . ' A Q Search View History Bookmarks Window Help Q 8 Mo Screenshot 24-11...0 PM (2) canvas.sfu.ca C rSol.VB... 11.3 Fwd-spot_c.PDM... Untitled document -.. ASSIGN 4 - US Letter. Dashboard Assignment 5 Screenshot Screenshot 20...at 4.19.39 PM 24-11...9.00 PM Fall 2024 Home 16.4 BINO32.PrSol.VB.pdf Syllabus Download 16.4 BINO32.PrSol.VB.pdf (1.18 MB) Screenshot 24-11...9.22 AM Modules Copyright (c) 2006-2014 by Avi Bick Screenshot 20...at 4.19.55 PM Assignments Example BIN-32: a three-period volatility-based binomial tree LR1410 People Part (a Screenshot Length of period in years T = 0.739726 = 270 days (using a 365 day year) )24-11...9.54 AM Announcements Number of sub-periods: n = 3 S = 162.24 Length of subinterval in years: h = 0.246575 = T= 90 days C= 52.24 0.06 38.07 Grades 5 Continuously compounded rate: Initial stock price: S(0)= 100 This part is identical C = 29.69 Volatility parameter 0 = 0.3 to Example BIN-31. 17.50 S = 20.44 The drift parameter m= 0.05 16.30 ICE 10.44 Pages Call's strike price: K - 110 S = 100.00 S = 102.50 8.74 Ics 4.84 bloxPlayerinstal S= 89.41 ler Files FV($1) per period: R(0,h) = 1.014905 = exp(r. h) S 37.23 Up-factor: 1.175035 = exp(m . h + oh" ) C = 2.25 C= 0.00 Down-factor: d= 0.872284 = exp(m . h - o. h/2) S 76.09 Discussions Risk-neutralized probability : 0.471082 = (R-d)/(u -d) Cs 0.00 S 66.37 0.00 ox.dmg Part (b): Same tree, except with different o Length of period in years T= 0.739726 (same as above) Number of sub-periods: n= 3 (same as above) S = 188.30 Length of subinterval in years: h= 0.246575 (same as above) 78.30 Continuously compounded rate: 0.06 (same as above) S 152.49 Initial stock price S(0) = 100 (same as above) c= 44.10 Volatility parameter: 0.4 Changed S = 123.49 S = 126.57 16.2 BIND31 PrSOLVE DO Previous Next NOV 17 4 cricut NA