EXCEL：财政金融建模Chapter 14.xlsVIP

210 (中文) Page208 chart Page 208 (中文) Page 208 Page 207 (中文) Page 207 VBA option functions 202 200 (中文) 200 Page 199 Page 198 (中文) Page 198 Page 196(中文) 196 (中文) 196, AmericanCall AmericanPut BSCall BSPut EurCall EurPut getformula TWO-DATE BINOMIAL OPTION PRICING Up Down Initial stock price Interest rate Exercise price Stock price Bond price Call option ??? A B Call price State prices qu qd 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*(1+up)+B*(1+interest)=max(stock*(1+up)-X,0) A*stock*(1+down)+B*(1+interest)=max(stock*(1+down)-X,0) The solution is: check on state prices call price state prices Call option price FIVE DATE EUROPEAN BINOMIAL OPTION PRICING up down initial stock price interest rate exercise price stock price bond price Terminal payoff * payoff of up of down price * steps of paths # paths Option value THREE DATE BINOMIAL OPTION PRICING FOR AMERICAN CALL/PUT American put option =MAX(MAX(X-S*(1+u),0),qu*put_payoffuu+qd*put_payoffud) =MAX(MAX(X-S*(1+d),0),qu*put_payoffud+qd*put_payoffdd) =MAX(MAX(X-S,0),qu*put_valueu+qd*put_valued) European put option State labels uu u ud or du d dd PICTURES IN BOOK American put payoffs ?? AMERICAN BINOMIAL OPTION PRICING IN EXCEL S X Sigma T n American put price American call price European put price European call price -- =EurCall(S, X,interest,sigma,T,n) Put-call parity? Pricing a put and call using the state prices Check: confirm that state prices actually price the stock and the bond Value = Number -- American call price+X/R^n -- European call price+X/R^n =qu*E20+qd*E22 =qu*E22+qd*E24 =qu*C21+qd*C23 stock price State Delta t, Dt R = erDt CONVERGENCE OF BINOMIAL TO BLACK-SCHOLES Black-Scholes call price Current stock price Option exercise price Time to option exercise (in years) Annual interest rate r Riskiness of stock -- =AmericanPut(S,X,T,interest,sigma,n) -- =AmericanCall(S,X,T,interest,sigma,n) -- =EurPut(S, X,T,inter