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Options, Futures, and Other Derivatives , 4th edition ? 2000 by John C. Hull Tang Yincai, Shanghai Normal University 9.1 Introduction to Binomial Trees Chapter 9 Options, Futures, and Other Derivatives , 4th edition ? 2000 by John C. Hull Tang Yincai, Shanghai Normal University 9.2 A Simple Binomial Model of Stock Price Movements ? In a binomial model, the stock price at the BEGINNING of a period can lead to only 2 stock prices at the END of that period Options, Futures, and Other Derivatives , 4th edition ? 2000 by John C. Hull Tang Yincai, Shanghai Normal University 9.3 Option Pricing Based on the Assumption of No Arbitrage Opportunities ? Procedures: ? Establish a portfolio of stock and option ? Value the Portfolio ? no arbitrage opportunities ? no uncertainty at maturity ? no risk with the portfolio ? risk-free interest earned ? Value the option ? Risk-free interest = value of portfolio today Options, Futures, and Other Derivatives , 4th edition ? 2000 by John C. Hull Tang Yincai, Shanghai Normal University 9.4 A Simple Binomial Model: Example ? A stock price is currently $20 ? In three months it will be either $22 or $18 Stock Price = $22 Stock Price = $18 Stock price = $20 Options, Futures, and Other Derivatives , 4th edition ? 2000 by John C. Hull Tang Yincai, Shanghai Normal University 9.5 Stock Price = $22 Option Price = $1 Stock Price = $18 Option Price = $0 Stock price = $20 Option Price=? A Call Option ? A 3-month call option on the stock has a strike price of $21. ? Figure 9.1 (P .202) Options, Futures, and Other Derivatives , 4th edition ? 2000 by John C. Hull Tang Yincai, Shanghai Normal University 9.6 ? Consider the Portfolio: LONG D shares SHORT 1 call option ? Figure 9.1 becomes ? Portfolio is riskless when 22 D – 1 = 18 D or D = 0.25 22 D – 1 18 D Setting Up a Riskless Portfolio S 0 = 20 Options, Futures, and Other Derivatives , 4th edition ? 2000 by John C. Hull Tang Yincai, Shanghai Normal University 9.7 Valuing the
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