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Answered Same DayJun 26, 2021

Answer To: homework urgent

Kushal answered on Jun 26 2021
156 Votes
Question 5 - a
        Inputs
        S0    100
        X    100                    European Call
        Risk Free Rate    4%
        U    1.15                                1
        D    0.85                                                C+++
        P    0.5335005569                                                152.0875
        1-P    0.46649944
31                                        C++        52.0875
                                                    132.25
                                            C+        32.25        C++-
                                            115                112.4125
                                    C0        15        C+-        12.4125
                                    100                97.75
                                    0        C-        0        C+--
                                            85                83.0875
                                            0        C--        0
                                                    72.25
                                                    0        C---
                                                            61.4125
                                                            0
                                    Time Period    3
                                    Option price     10.87
Question 5 -b
        Inputs
        S0    100
        X    100                European Put
        Risk Free Rate    4%
        U    1.15
        D    0.85                                            P+++
        P    0.5335005569                                            152.0875
        1-P    0.4664994431                                    P++        0
                                                132.25
                                        P+        0        P++-
                                        115                112.4125
                                P0        0        P+-        0
                                100                97.75
                                0        P-        2.25        P+--
                                        85                83.0875
                                        15        P--        16.9125
                                                72.25
                                                27.75        P---
                                                        61.4125
                                                        38.5875
                                Time Period    4
                                Option price     7.61            0.1304347826
Question 5 - c American Call
        Inputs
        S0    100
        X    100                    American Call
        Risk Free Rate    4%
        U    1.15
        D    0.85                                                C+++
        P    0.5335005569                                                152.0875
        1-P    0.4664994431                                        C++        52.0875
                                                    132.25
                                                    32.25
                                            C+        33.2450166251
                                            115                C++-
                                    C0        15                112.4125
                                    100        20.5877808565        C+-        12.4125
                                    0        C-        97.75
                                    12.4736826923        85        0        C+--
                                            0        6.5561849093        83.0875
                                            3.4629253225                0
                                                    C--
                                                    72.25
                                                    0
                                                            C---
                                                            61.4125
                                                            0
                                    Option price     12.47
Question 5 - d American Put
        Inputs
        S0    100
        X    100                    American Put
        Risk Free...
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