Question
One-period binomial model
S_now 100 S_up Delta
up 1.2 S_down 80
down 0.8 disc_factor 0.9512294245 q_up
risk_free 0.05 q_down 1.0000
T 1 C_up
K 100 C_down 0 expected_payoff
call_option_value
Period 0 1 One-period binomial model for a European call option
0 Cells shaded grey are inputs or parameters that can be altered.
Stock 100
80 Cells shaded blue are cells in which you must enter an appropriate formula to calculate the value.
In each case, the required formula is shown next to the cell to which it applies.
0 Complete the worksheet to calculate the option value. You can then experiment with the
Call option 0.00 parameter values to see how changing them affects the option value.
0
See the Answer worksheet for the completed calculation.