Days

strike

today

mon

tue

wed

thurs

5100

fri

closing

5346.4881
5293.5526
5241.1412
5189.2487
5137.87
5087

5240.6171
5188.7298

5137.3562
5086.4913

5036.13

5136.8425
5085.9827

5035.6264
4985.7687

5035.1228
4985.2701

4935.911

4935.4174
4886.5519
4837.6864

0.03125
0.0625
0.125
0.25
0.5
1

0.15625
0.25

0.375
0.5

0.5

0.3125
0.375

0.375
0.25

0.3125
0.25

0.125

0.15625
0.0625
0.03125

BINOMIAL TREE MODEL

premium at
the end of 5
present value
value/premium probabilitydays
of premium
41.1874457204 41.0894970253

246.4881248587

0.03125

7.7027539018

140.6170728813

0.15625 21.9714176377

36.8424773787

0.3125 11.5132741808

0.3125

0.15625

0.03125

REE MODEL

s
k
ir
sigma
t

5087
5200
10%
21.920%
0.03515625

d1=
d2=
Nd1=
Nd2=
call=

Black Scholes
-0.42847
-0.46957
0.33415
0.31933
45.15