European Call
Binomial European Call
At each node:
Upper value = Underlying Asset Price
Lower value = Option Price
Values in red are a result of early exercise.
Strike price = 50
Discount factor per step = 0.9753
Time step, dt = 0.2500 years, 91.25 days
Growth factor per step, a = 1.0253
Probability of up move, p = 0.6014
Up step size, u = 1.1052
Down step size, d = 0.9048
61.07014
14.96255
55.2585459
10.96868087
50
50
7.879951
5.639758
45.2418709
3.720452328
40.93654
1.061092
82.43606
32.43606
74.59123
25.82574
67.49294
19.93147
67.49294
17.49294
61.07014
12.30464
55.25855
8.416238
55.25855
5.258546
50
3.084334
45.24187
1.809077
45.24187
0
40.93654
0
37.04091
0
37.04091
0
33.516
0
30.32653
0
Node Time:
0.0000
0.2500
0.5000
0.7500
Page 1
1.0000
1.2500
European Put
Binomial European Put
At each node:
Upper value = Underlying Asset Price
Lower value = Option Price
Values in red are a result of early exercise.
Strike price = 50
Discount factor per step = 0.9753
Time step, dt = 0.2500 years, 91.25 days
Growth factor per step, a = 1.0253
Probability of up move, p = 0.6014
Up step size, u = 1.1052
Down step size, d = 0.9048
61.07014
0.279591
55.25855
0.952006
50
50
2.004797
2.026932
45.24187
3.720452
40.93654
6.511728
82.43606
0
74.59123
0
67.49294
0
67.49294
0
61.07014
0
55.25855
0.719163
55.25855
0
50
1.84983
45.24187
4.128678
45.24187
4.758129
40.93654
7.828958
37.04091
10.52056
37.04091
12.95909
33.516
15.24949
30.32653
19.67347
Node Time:
0.0000
0.2500
0.5000
0.7500
Page 1
1.0000
1.2500
American Put
Binomial American Put
At each node:
Upper value = Underlying Asset Price
Lower value = Option Price
Values in red are a result of early exercise.
Strike price = 50
Discount factor per step = 0.9753
Time step, dt = 0.2500 years, 91.25 days
Growth factor per step, a = 1.0253
Probability of up move, p = 0.6014
Up step size, u = 1.1052
Down step size, d = 0.9048
61.07014
0.279591
55.25855
0
1.047144
50
0
50
2.50208
2.271646
45.24187
0
4.85603
4.75813
40.93654
9.06346
7.828958
Node Time:
0.0000
0.2500
0.5000
82.43606
0
67.49294
0
0
55.25855
0.719163
0
45.24187
4.75813
4.608619
37.04091
12.9591
11.72458
74.59123
0
0
61.07014
0
0
50
1.84983
0
40.93654
9.06346
7.828958
33.516
16.484
15.24949
0.7500
Page 1
1.0000
67.49294
0
55.25855
0
45.24187
4.75813
37.04091
12.9591
30.32653
19.6735
1.2500