Question: Excel Online Structured Activity: Binomial Model Binomial Model Current price $21.00 High price, Year 1 $25.00 Low price, Year 1 $14.00 Risk-free rate, r RF
Excel Online Structured Activity: Binomial Model
| Binomial Model | |||||
| Current price | $21.00 | ||||
| High price, Year 1 | $25.00 | ||||
| Low price, Year 1 | $14.00 | ||||
| Risk-free rate, rRF | 6.00% | ||||
| Strike price | $24.00 | ||||
| Time until expiration (in years) | 1.00 | ||||
| Number of days per year | 365 | ||||
| Outcome | Stock Price | Strike Price | Option Payoff | ||
| Price up | $25.00 | $24.00 | $1.00 | ||
| Price down | $14.00 | $24.00 | $0.00 | ||
| Range | $11.00 | $1.00 | |||
| Formulas | |||||
| Number of shares of stock to purchase to create hedge portfolio, Ns : | #N/A | ||||
| Hedge portfolio's payoff if stock price up | #N/A | ||||
| Hedge portfolio's payoff if stock price down | #N/A | ||||
| Present value of hedge portfolio | #N/A | ||||
| Value of call option, VC | #N/A | ||||
Step by Step Solution
There are 3 Steps involved in it
1 Expert Approved Answer
Step: 1 Unlock
Question Has Been Solved by an Expert!
Get step-by-step solutions from verified subject matter experts
Step: 2 Unlock
Step: 3 Unlock
Study Help