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1000

1.5
20.0000%
7.00%
7.0000%
100
110
0.0015
1.007776044
0.992283956
1.015612555
1
0.498063518
0.501936482
0.992283956
4.4541E-300
0.000432483
0.501936482
0.498063518
1.007776044
1.9263E-303

n
T
sigma
r
y
S
K
dT
u
d
u/d
R
q
1-q
q/(1-q)
(1-q)^n
d^n
q' = u.q/R
1-q'
q'/(1-q')
(1-q')^n

number of time steps


term to maturity
volatility per annum
continuously compounded risk free interest rate
dividend yield
stock price at start
exercise price
delta T = length of time step
up factor
down factor
ratio of up to down factor
per period accumulation factor
probability of up step
probability of down step
ratio of up to down probability

check that
probabilities
sum to 1.00
1
Term of
contract
1.5

number of up steps
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499

binomial
probability
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000000
0.0000000001
0.0000000001
0.0000000001
0.0000000002
0.0000000003
0.0000000005
0.0000000007
0.0000000010
0.0000000015
0.0000000021
0.0000000030
0.0000000043
0.0000000061
0.0000000087
0.0000000123
0.0000000173
0.0000000243
0.0000000338
0.0000000470
0.0000000651
0.0000000897
0.0000001231
0.0000001683
0.0000002292
0.0000003107
0.0000004196
0.0000005643
0.0000007558
0.0000010082
0.0000013393
0.0000017719
0.0000023348
0.0000030640
0.0000040045
0.0000052125
0.0000067573
0.0000087245
0.0000112186
0.0000143672
0.0000183249
0.0000232782
0.0000294507
0.0000371091
0.0000465700
0.0000582066
0.0000724571
0.0000898321
0.0001109240
0.0001364155
0.0001670886
0.0002038335
0.0002476570
0.0002996904
0.0003611958
0.0004335718
0.0005183564
0.0006172280
0.0007320037
0.0008646333
0.0010171904
0.0011918589
0.0013909139
0.0016166986
0.0018715947
0.0021579882
0.0024782284
0.0028345828
0.0032291854
0.0036639819
0.0041406703
0.0046606384
0.0052249007
0.0058340342
0.0064881161
0.0071866644
0.0079285836
0.0087121173
0.0095348098
0.0103934782
0.0112841973
0.0122022981
0.0131423820
0.0140983511
0.0150634556
0.0160303576
0.0169912121
0.0179377635
0.0188614564
0.0197535588
0.0206052963
0.0214079920
0.0221532130
0.0228329159
0.0234395908
0.0239663992
0.0244073016
0.0247571732
0.0250119025
0.0251684716
0.0252250163
0.0251808622

506.1522457
507
0.296819076
0.386457195
5.40

expected stock
price at maturity
100
expected return on
stock over term
0.000%

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stock price
0.04
0.04
0.04
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.05
0.06
0.06
0.06
0.06
0.06
0.06
0.06
0.06
0.06
0.06
0.06
0.07
0.07
0.07
0.07
0.07
0.07
0.07
0.07
0.07
0.08
0.08
0.08
0.08
0.08
0.08
0.08
0.08
0.09
0.09
0.09
0.09
0.09
0.09
0.09
0.10
0.10
0.10
0.10
0.10
0.10
0.10
0.11
0.11
0.11
0.11
0.11
0.11
0.12
0.12
0.12
0.12
0.12
0.13
0.13
0.13
0.13
0.13
0.14
0.14
0.14
0.14
0.14
0.15
0.15
0.15
0.15
0.16
0.16
0.16
0.16
0.17
0.17
0.17
0.17
0.18
0.18
0.18
0.19
0.19
0.19
0.19
0.20
0.20
0.20
0.21
0.21
0.21
0.22
0.22
0.22
0.23
0.23
0.23
0.24
0.24
0.25
0.25
0.25
0.26
0.26
0.26
0.27
0.27
0.28
0.28
0.29
0.29
0.30
0.30
0.30
0.31
0.31
0.32
0.32
0.33
0.33
0.34
0.34
0.35
0.36
0.36
0.37
0.37
0.38
0.38
0.39
0.40
0.40
0.41
0.42
0.42
0.43
0.43
0.44
0.45
0.46
0.46
0.47
0.48
0.48
0.49
0.50
0.51
0.52
0.52
0.53
0.54
0.55
0.56
0.57
0.57
0.58
0.59
0.60
0.61
0.62
0.63
0.64
0.65
0.66
0.67
0.68
0.69
0.70
0.71
0.73
0.74
0.75
0.76
0.77
0.78
0.80
0.81
0.82
0.83
0.85
0.86
0.87
0.89
0.90
0.91
0.93
0.94
0.96
0.97
0.99
1.00
1.02
1.04
1.05
1.07
1.08
1.10
1.12
1.14
1.15
1.17
1.19
1.21
1.23
1.25
1.27
1.29
1.31
1.33
1.35
1.37
1.39
1.41
1.43
1.46
1.48
1.50
1.53
1.55
1.57
1.60
1.62
1.65
1.67
1.70
1.73
1.75
1.78
1.81
1.84
1.87
1.90
1.92
1.95
1.99
2.02
2.05
2.08
2.11
2.15
2.18
2.21
2.25
2.28
2.32
2.35
2.39
2.43
2.47
2.50
2.54
2.58
2.62
2.66
2.71
2.75
2.79
2.83
2.88
2.92
2.97
3.02
3.06
3.11
3.16
3.21
3.26
3.31
3.36
3.41
3.47
3.52
3.58
3.63
3.69
3.75
3.81
3.86
3.92
3.99
4.05
4.11
4.18
4.24
4.31
4.37
4.44
4.51
4.58
4.65
4.73
4.80
4.88
4.95
5.03
5.11
5.19
5.27
5.35
5.43
5.52
5.61
5.69
5.78
5.87
5.96
6.06
6.15
6.25
6.34
6.44
6.54
6.65
6.75
6.86
6.96
7.07
7.18
7.29
7.41
7.52
7.64
7.76
7.88
8.00
8.13
8.26
8.39
8.52
8.65
8.78
8.92
9.06
9.20
9.35
9.49
9.64
9.79
9.94
10.10
10.26
10.42
10.58
10.74
10.91
11.08
11.25
11.43
11.61
11.79
11.97
12.16
12.35
12.54
12.74
12.94
13.14
13.35
13.55
13.77
13.98
14.20
14.42
14.65
14.87
15.11
15.34
15.58
15.83
16.07
16.32
16.58
16.84
17.10
17.37
17.64
17.91
18.19
18.48
18.77
19.06
19.36
19.66
19.97
20.28
20.59
20.92
21.24
21.57
21.91
22.25
22.60
22.95
23.31
23.68
24.04
24.42
24.80
25.19
25.58
25.98
26.39
26.80
27.22
27.64
28.07
28.51
28.96
29.41
29.87
30.33
30.81
31.29
31.78
32.27
32.78
33.29
33.81
34.34
34.87
35.42
35.97
36.53
37.10
37.68
38.27
38.87
39.47
40.09
40.72
41.35
42.00
42.65
43.32
44.00
44.68
45.38
46.09
46.81
47.54
48.28
49.04
49.80
50.58
51.37
52.17
52.98
53.81
54.65
55.51
56.37
57.25
58.15
59.05
59.98
60.91
61.86
62.83
63.81
64.81
65.82
66.85
67.89
68.95
70.03
71.12
72.23
73.36
74.50
75.66
76.85
78.05
79.26
80.50
81.76
83.04
84.33
85.65
86.99
88.34
89.72
91.12
92.55
93.99
95.46
96.95
98.46

j
b
binomial cdf BIN(n,b,q)
binomial cdf BIN(n,b,q')
call option value

discounte
d expected
option
expected
option payoff payoff at
at maturity
maturity
5.995621112 $
5.40
expected rate
of return on
stock
0.00%
7.000%

option payoff
$
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-

binomial
coefficient
1
1000
499500
166167000
4.1417E+10
8.2503E+12
1.3682E+15
1.9428E+17
2.4115E+19
2.658E+21
2.6341E+23
2.3707E+25
1.9538E+27
1.4849E+29
1.0469E+31
6.8814E+32
4.2364E+34
2.4521E+36
1.3391E+38
6.9212E+39
3.3948E+41
1.5843E+43
7.0499E+44
2.9978E+46
1.2203E+48
4.7642E+49
1.7866E+51
6.4449E+52
2.2396E+54
7.5065E+55
2.4296E+57
7.6023E+58
2.3021E+60
6.7528E+61
1.9206E+63
5.3008E+64
1.4209E+66
3.702E+67
9.3817E+68
2.3141E+70
5.5597E+71
1.3018E+73
2.9724E+74
6.6223E+75
1.4403E+77
3.0599E+78
6.3527E+79
1.2895E+81
2.5601E+82
4.974E+83
9.4605E+84
1.7622E+86
3.2161E+87
5.7526E+88
1.0088E+90
1.7352E+91
2.9281E+92
4.8494E+93
7.8844E+94
1.2588E+96
1.9743E+97
3.0423E+98
4.608E+99
6.86E+100
1.004E+102
1.446E+103
2.049E+104
2.856E+105
3.919E+106
5.294E+107
7.04E+108
9.222E+109
1.19E+111
1.513E+112
1.895E+113
2.34E+114
2.847E+115
3.417E+116
4.043E+117
4.719E+118
5.433E+119
6.17E+120
6.915E+121
7.649E+122
8.35E+123
8.998E+124
9.574E+125
1.006E+127
1.043E+128
1.069E+129
1.082E+130
1.082E+131
1.069E+132
1.044E+133
1.007E+134
9.608E+134
9.058E+135
8.441E+136
7.778E+137
7.087E+138
6.385E+139
5.69E+140
5.015E+141
4.372E+142
3.771E+143
3.218E+144
2.717E+145
2.27E+146
1.877E+147
1.536E+148
1.244E+149
9.976E+149
7.918E+150
6.223E+151
4.842E+152
3.73E+153
2.846E+154
2.15E+155
1.609E+156
1.193E+157
8.755E+157
6.367E+158
4.588E+159
3.275E+160
2.316E+161
1.623E+162
1.127E+163
7.757E+163
5.291E+164
3.576E+165
2.396E+166
1.591E+167
1.048E+168
6.837E+168
4.424E+169
2.838E+170
1.805E+171
1.138E+172
7.118E+172
4.414E+173
2.715E+174
1.656E+175
1.002E+176
6.01E+176
3.577E+177
2.112E+178
1.237E+179
7.184E+179
4.14E+180
2.368E+181
1.343E+182
7.561E+182
4.223E+183
2.341E+184
1.287E+185
7.027E+185
3.806E+186
2.046E+187
1.092E+188
5.781E+188
3.039E+189
1.585E+190
8.211E+190
4.221E+191
2.154E+192
1.092E+193
5.491E+193
2.742E+194
1.36E+195
6.693E+195
3.272E+196
1.588E+197
7.654E+197
3.663E+198
1.741E+199
8.218E+199
3.852E+200
1.793E+201
8.292E+201
3.808E+202
1.737E+203
7.868E+203
3.541E+204
1.583E+205
7.028E+205
3.1E+206
1.358E+207
5.912E+207
2.557E+208
1.098E+209
4.689E+209
1.988E+210
8.378E+210
3.507E+211
1.459E+212
6.031E+212
2.477E+213
1.011E+214
4.1E+214
1.652E+215
6.617E+215
2.634E+216
1.042E+217
4.095E+217
1.6E+218
6.212E+218
2.397E+219
9.196E+219
3.506E+220
1.329E+221
5.004E+221
1.874E+222
6.973E+222
2.58E+223
9.487E+223
3.468E+224
1.261E+225
4.554E+225
1.636E+226
5.841E+226
2.073E+227
7.318E+227
2.568E+228
8.959E+228
3.108E+229
1.072E+230
3.675E+230
1.253E+231
4.249E+231
1.432E+232
4.801E+232
1.6E+233
5.305E+233
1.749E+234
5.732E+234
1.868E+235
6.056E+235
1.952E+236
6.259E+236
1.995E+237
6.327E+237
1.995E+238
6.258E+238
1.952E+239
6.056E+239
1.869E+240
5.735E+240
1.751E+241
5.316E+241
1.605E+242
4.823E+242
1.441E+243
4.283E+243
1.266E+244
3.724E+244
1.09E+245
3.171E+245
9.179E+245
2.643E+246
7.573E+246
2.158E+247
6.119E+247
1.726E+248
4.843E+248
1.352E+249
3.755E+249
1.038E+250
2.853E+250
7.802E+250
2.123E+251
5.748E+251
1.548E+252
4.15E+252
1.107E+253
2.936E+253
7.751E+253
2.036E+254
5.322E+254
1.384E+255
3.582E+255
9.223E+255
2.363E+256
6.025E+256
1.529E+257
3.859E+257
9.696E+257
2.424E+258
6.03E+258
1.493E+259
3.678E+259
9.018E+259
2.2E+260
5.342E+260
1.291E+261
3.104E+261
7.429E+261
1.769E+262
4.194E+262
9.895E+262
2.323E+263
5.428E+263
1.262E+264
2.922E+264
6.731E+264
1.543E+265
3.522E+265
7.998E+265
1.808E+266
4.068E+266
9.111E+266
2.031E+267
4.506E+267
9.95E+267
2.187E+268
4.785E+268
1.042E+269
2.259E+269
4.874E+269
1.047E+270
2.238E+270
4.763E+270
1.009E+271
2.128E+271
4.466E+271
9.332E+271
1.941E+272
4.019E+272
8.284E+272
1.7E+273
3.472E+273
7.059E+273
1.429E+274
2.879E+274
5.776E+274
1.153E+275
2.293E+275
4.539E+275
8.943E+275
1.754E+276
3.425E+276
6.66E+276
1.289E+277
2.484E+277
4.765E+277
9.1E+277
1.73E+278
3.276E+278
6.173E+278
1.158E+279
2.164E+279
4.025E+279
7.454E+279
1.374E+280
2.523E+280
4.611E+280
8.391E+280
1.52E+281
2.742E+281
4.926E+281
8.809E+281
1.568E+282
2.781E+282
4.908E+282
8.627E+282
1.51E+283
2.631E+283
4.564E+283
7.884E+283
1.356E+284
2.323E+284
3.961E+284
6.727E+284
1.137E+285
1.915E+285
3.21E+285
5.359E+285
8.908E+285
1.474E+286
2.43E+286
3.988E+286
6.518E+286
1.061E+287
1.719E+287
2.773E+287
4.456E+287
7.129E+287
1.136E+288
1.802E+288
2.847E+288
4.479E+288
7.018E+288
1.095E+289
1.701E+289
2.631E+289
4.054E+289
6.22E+289
9.502E+289
1.446E+290
2.19E+290
3.305E+290
4.965E+290
7.429E+290
1.107E+291
1.643E+291
2.427E+291
3.572E+291
5.235E+291
7.64E+291
1.11E+292
1.607E+292
2.317E+292
3.326E+292
4.755E+292
6.77E+292
9.599E+292
1.355E+293
1.906E+293
2.669E+293
3.723E+293
5.171E+293
7.154E+293
9.855E+293
1.352E+294
1.848E+294
2.514E+294
3.408E+294
4.6E+294
6.183E+294
8.278E+294
1.104E+295
1.466E+295
1.938E+295
2.553E+295
3.349E+295
4.375E+295
5.693E+295
7.377E+295
9.521E+295
1.224E+296
1.567E+296
1.998E+296
2.537E+296
3.208E+296
4.041E+296
5.069E+296
6.334E+296
7.882E+296
9.768E+296
1.206E+297
1.482E+297
1.815E+297
2.214E+297
2.689E+297
3.252E+297
3.919E+297
4.702E+297
5.62E+297
6.69E+297
7.932E+297
9.366E+297
1.102E+298
1.29E+298
1.505E+298
1.749E+298
2.024E+298
2.333E+298
2.679E+298
3.063E+298
3.489E+298
3.957E+298
4.471E+298
5.031E+298
5.639E+298
6.294E+298
6.998E+298
7.75E+298
8.547E+298
9.389E+298
1.027E+299
1.12E+299
1.215E+299
1.314E+299
1.415E+299
1.517E+299
1.621E+299
1.724E+299
1.827E+299
1.928E+299
2.027E+299
2.122E+299
2.213E+299
2.299E+299
2.378E+299
2.451E+299
2.515E+299
2.571E+299
2.618E+299
2.655E+299
2.681E+299
2.697E+299

payoff times
probability
$
$
$
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$
-

500
501
502
503
504
505
506
507
508
509
510
511
512
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100.00
101.56
103.15
104.76
106.39
108.05
109.74
111.45
113.19
114.96
116.76
118.58
120.43
122.31
124.22
126.16
128.13
130.13
132.16
134.22
136.32
138.45
140.61
142.81
145.04
147.30
149.60
151.93
154.31
156.72
159.16
161.65
164.17
166.73
169.34
171.98
174.67
177.39
180.16
182.98
185.83
188.73
191.68
194.67
197.71
200.80
203.93
207.12
210.35
213.64
216.97
220.36
223.80
227.29
230.84
234.45
238.11
241.82
245.60
249.43
253.33
257.28
261.30
265.38
269.52
273.73
278.00
282.34
286.75
291.23
295.78
300.39
305.08
309.85
314.69
319.60
324.59
329.66
334.80
340.03
345.34
350.73
356.21
361.77
367.42
373.15
378.98
384.89
390.90
397.01
403.20
409.50
415.89
422.39
428.98
435.68
442.48
449.39
456.40
463.53
470.77
478.12
485.58
493.16
500.86
508.68
516.62
524.69
532.88
541.20
549.65
558.23
566.95
575.80
584.79
593.92
603.19
612.61
622.17
631.89
641.75
651.77
661.95
672.28
682.78
693.44
704.26
715.26
726.43
737.77
749.29
760.98
772.87
784.93
797.19
809.63
822.27
835.11
848.15
861.39
874.84
888.50
902.37
916.46
930.77
945.30
960.06
975.05
990.27
1,005.73
1,021.43
1,037.38
1,053.57
1,070.02
1,086.73
1,103.70
1,120.93
1,138.43
1,156.20
1,174.25
1,192.59
1,211.21
1,230.12
1,249.32
1,268.83
1,288.64
1,308.75
1,329.19
1,349.94
1,371.02
1,392.42
1,414.16
1,436.24
1,458.66
1,481.44
1,504.56
1,528.05
1,551.91
1,576.14
1,600.75
1,625.74
1,651.12
1,676.90
1,703.08
1,729.67
1,756.67
1,784.10
1,811.96
1,840.24
1,868.98
1,898.15
1,927.79
1,957.89
1,988.46
2,019.50
2,051.03
2,083.05
2,115.57
2,148.60
2,182.15
2,216.22
2,250.82
2,285.96
2,321.65
2,357.90
2,394.71
2,432.10
2,470.07
2,508.63
2,547.80
2,587.57
2,627.97
2,669.00
2,710.67
2,752.99
2,795.97
2,839.63
2,883.96
2,928.99
2,974.72
3,021.16
3,068.33
3,116.23
3,164.88
3,214.29
3,264.48
3,315.44
3,367.21
3,419.78
3,473.17
3,527.39
3,582.47
3,638.40
3,695.20
3,752.89
3,811.49
3,870.99
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3,992.81
4,055.15
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4,248.06
4,314.38
4,381.74
4,450.15
4,519.63
4,590.19
4,661.86
4,734.64
4,808.56
4,883.64
4,959.88
5,037.32
5,115.96
5,195.84
5,276.96
5,359.35
5,443.02
5,528.00
5,614.30
5,701.96
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5,973.22
6,066.47
6,161.19
6,257.38
6,355.07
6,454.29
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6,761.34
6,866.90
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7,193.58
7,305.89
7,419.95
7,535.79
7,653.45
7,772.94
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8,017.54
8,142.72
8,269.85
8,398.96
8,530.09
8,663.27
8,798.52
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9,075.40
9,217.09
9,360.99
9,507.14
9,655.57
9,806.32
9,959.42
10,114.91
10,272.83
10,433.22
10,596.11
10,761.54
10,929.56
11,100.19
11,273.50
11,449.51
11,628.26
11,809.81
11,994.19
12,181.45
12,371.63
12,564.79
12,760.95
12,960.19
13,162.53
13,368.03
13,576.74
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213,988.43
217,329.33
220,722.40
224,168.44
227,668.28
231,222.77

$
$
$
$
$
$
$
$
1.45
$
3.19
$
4.96
$
6.76
$
8.58
$
10.43
$
12.31
$
14.22
$
16.16
$
18.13
$
20.13
$
22.16
$
24.22
$
26.32
$
28.45
$
30.61
$
32.81
$
35.04
$
37.30
$
39.60
$
41.93
$
44.31
$
46.72
$
49.16
$
51.65
$
54.17
$
56.73
$
59.34
$
61.98
$
64.67
$
67.39
$
70.16
$
72.98
$
75.83
$
78.73
$
81.68
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84.67
$
87.71
$
90.80
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93.93
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97.12
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$ 94,036.25
$ 95,506.12
$ 96,998.93
$ 98,515.05
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7.778E+137
8.441E+136
9.058E+135
9.608E+134
1.007E+134
1.044E+133
1.069E+132
1.082E+131
1.082E+130
1.069E+129
1.043E+128
1.006E+127
9.574E+125
8.998E+124
8.35E+123
7.649E+122
6.915E+121
6.17E+120
5.433E+119
4.719E+118
4.043E+117
3.417E+116
2.847E+115
2.34E+114
1.895E+113
1.513E+112
1.19E+111
9.222E+109
7.04E+108
5.294E+107
3.919E+106
2.856E+105
2.049E+104
1.446E+103
1.004E+102
6.86E+100
4.608E+99
3.0423E+98
1.9743E+97
1.2588E+96
7.8844E+94
4.8494E+93
2.9281E+92
1.7352E+91
1.0088E+90
5.7526E+88
3.2161E+87
1.7622E+86
9.4605E+84
4.974E+83
2.5601E+82
1.2895E+81
6.3527E+79
3.0599E+78
1.4403E+77
6.6223E+75
2.9724E+74
1.3018E+73
5.5597E+71
2.3141E+70
9.3817E+68
3.702E+67
1.4209E+66
5.3008E+64
1.9206E+63
6.7528E+61
2.3021E+60
7.6023E+58
2.4296E+57
7.5065E+55
2.2396E+54
6.4449E+52
1.7866E+51
4.7642E+49
1.2203E+48
2.9978E+46
7.0499E+44
1.5843E+43
3.3948E+41
6.9212E+39
1.3391E+38
2.4521E+36
4.2364E+34
6.8814E+32
1.0469E+31
1.4849E+29
1.9538E+27
2.3707E+25
2.6341E+23
2.658E+21
2.4115E+19
1.9428E+17
1.3682E+15
8.2503E+12
4.1417E+10
166167000
499500
1000
1

$
$
$
$
$
$
$
$
$
$
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$
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$

0.03
0.07
0.10
0.13
0.15
0.18
0.20
0.22
0.23
0.24
0.25
0.25
0.25
0.25
0.25
0.25
0.24
0.23
0.22
0.21
0.20
0.19
0.17
0.16
0.15
0.14
0.12
0.11
0.10
0.09
0.08
0.07
0.06
0.06
0.05
0.04
0.04
0.03
0.03
0.02
0.02
0.02
0.01
0.01
0.01
0.01
0.01
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

1000
1.5
20.0000%
7.00%
7.0000%
100
110
0.0015
1.007776044
0.992283956
1.015612555
1
0.498063518
0.501936482
0.992283956
4.4541E-300
0.000432483
0.501936482
0.498063518
1.007776044
1.9263E-303
506.1522457
507
0.296819076
0.386457195
$
5.40

1
1.5
20.0000%
7.00%
7.0000%
100
110
1.5
1.27755612
0.78274448
1.63214965
1
0.43906712
0.56093288
0.78274448
0.50193648
0.99228396
0.56093288
0.43906712
1.27755612
0.43906712
0.69455109
1
0.43906712
0.56093288
$ 7.0188
$ 7.0188
$ 5.3981
$ 1.6208

difference

2
1.5
20.0000%
7.00%
7.0000%
100
110
0.75
1.18910994
0.84096513
1.41398246
1
0.45680666
0.54319334
0.84096513
0.25194023
0.98462745
0.54319334
0.45680666
1.18910994
0.20867232
1.27513679
2
0.20867232
0.29505901
$ 5.8989
$ 6.4589
$ 5.3981
$ 0.5008

3
1.5
20.0000%
7.00%
7.0000%
100
110
0.5
1.15190991
0.868123445
1.326896441
1
0.464703469
0.535296531
0.868123445
0.126457994
0.977030021
0.535296531
0.464703469
1.15190991
0.100352395
1.836972372
2
0.447143151
0.552856849
$ 5.4919
$ 5.6954
$ 5.3981
$ 0.0939

4
1.5
20.0000%
7.00%
7.0000%
100
110
0.375
1.13029028
0.88472848
1.27755612
1
0.46941959
0.53058041
0.88472848
0.06347388
0.96949121
0.53058041
0.46941959
1.13029028
0.04855622
2.38910218
3
0.2680867
0.35971353
$ 5.8357
$ 5.6638
$ 5.3981
$ 0.4377

5
1.5
20.0000%
7.00%
7.0000%
100
110
0.3
1.11576973
0.89624227
1.2449421
1
0.47264123
0.52735877
0.89624227
0.03185986
0.96201058
0.52735877
0.47264123
1.11576973
0.0235862
2.93502946
3
0.4488046
0.5511954
$ 5.1778
$ 5.5068
$ 5.3981
-$ 0.2203

6
1.5
20.0000%
7.00%
7.0000%
100
110
0.25
1.10517092
0.90483742
1.22140276
1
0.47502081
0.52497919
0.90483742
0.01599162
0.95458766
0.52497919
0.47502081
1.10517092
0.01148883
3.4765509
4
0.2981589
0.39167511
$ 5.7351
$ 5.4564
$ 5.3981
$ 0.3370

7
1.5
20.0000%
7.00%
7.0000%
100
110
0.2142857
1.0970031
0.9115744
1.2034158
1
0.476871
0.523129
0.9115744
0.0080268
0.947222
0.523129
0.476871
1.0970031
0.005608
4.0147338
5
0.1903952
0.2662329
$ 5.1137
$ 5.4244
$ 5.3981
-$ 0.2844

8
1.5
20.0000%
7.00%
7.0000%
100
110
0.1875
1.09046318
0.91704151
1.18910994
1
0.47836289
0.52163711
0.91704151
0.00402893
0.93991321
0.52163711
0.47836289
1.09046318
0.00274195
4.55027358
5
0.31705984
0.41154514
$ 5.6522
$ 5.3829
$ 5.3981
$ 0.2541

9
1.5
20.0000%
7.00%
7.0000%
100
110
0.16666667
1.0850756
0.92159478
1.17738905
1
0.47959892
0.52040108
0.92159478
0.00202227
0.9326608
0.52040108
0.47959892
1.0850756
0.00134247
5.08365327
6
0.21542091
0.29566102
$ 5.2847
$ 5.4685
$ 5.3981
-$ 0.1133

10
1.5
20.0000%
7.00%
7.0000%
100
110
0.15
1.08053865
0.92546435
1.16756377
1
0.48064476
0.51935524
0.92546435
0.00101505
0.92546435
0.51935524
0.48064476
1.08053865
0.00065802
5.61522457
6
0.3303353
0.42540929
$ 5.5857
$ 5.4352
$ 5.3981
$ 0.1876

11
1.5
20.0000%
7.00%
7.0000%
100
110
0.13636364
1.07665057
0.92880646
1.15917644
1
0.48154466
0.51845534
0.92880646
0.00050949
0.91832343
0.51845534
0.48154466
1.07665057
0.00032285
6.14525297
7
0.23437062
0.31752252
$ 5.3763
$ 5.4810
$ 5.3981
-$ 0.0218

12
1.5
20.0000%
7.00%
7.0000%
100
110
0.125
1.07327066
0.93173142
1.15190991
1
0.48232969
0.51767031
0.93173142
0.00025573
0.9112376
0.51767031
0.48232969
1.07327066
0.00015854
6.67394474
7
0.34031499
0.43578429
$ 5.5314
$ 5.4538
$ 5.3981
$ 0.1333

13
1.5
20.0000%
7.00%
7.0000%
100
110
0.11538462
1.07029747
0.93431969
1.14553668
1
0.48302237
0.51697763
0.93431969
0.00012836
0.90420645
0.51697763
0.48302237
1.07029747
7.7907E-05
7.20146393
8
0.24936162
0.33458289
$ 5.4276
$ 5.4795
$ 5.3981
$ 0.0295

14
1.5
20.0000%
7.00%
7.0000%
100
110
0.10714286
1.06765576
0.93663148
1.13988882
1
0.4836395
0.5163605
0.93663148
6.4429E-05
0.89722956
0.5163605
0.4836395
1.06765576
3.8309E-05
7.72794352
8
0.34816961
0.44392262
$ 5.4862
$ 5.4569
$ 5.3981
$ 0.0882

15
1.5
20.0000%
7.00%
7.0000%
100
110
0.1
1.06528839
0.93871294
1.13483936
1
0.48419388
0.51580612
0.93871294
3.2339E-05
0.89030649
0.51580612
0.48419388
1.06528839
1.8849E-05
8.25349313
9
0.2616051
0.34837294
$ 5.4566
$ 5.4714
$ 5.3981
$ 0.0586

16
1.5
20.0000%
7.00%
7.0000%
100
110
0.09375
1.06315111
0.94060006
1.13029028
1
0.48469547
0.51530453
0.94060006
1.6232E-05
0.88343685
0.51530453
0.48469547
1.06315111
9.279E-06
8.77820436
9
0.35456
0.4505265
$ 5.4479
$ 5.4523
$ 5.3981
$ 0.0498

17
1.5
20.0000%
7.00%
7.0000%
100
110
0.08823529
1.06120903
0.94232142
1.12616461
1
0.48515215
0.51484785
0.94232142
8.1476E-06
0.87662021
0.51484785
0.48515215
1.06120903
4.5701E-06
9.30215469
10
0.27185002
0.35981763
$ 5.4724
$ 5.4602
$ 5.3981
$ 0.0743

18
1.5
20.0000%
7.00%
7.0000%
100
110
0.08333333
1.05943424
0.94390002
1.1224009
1
0.48557025
0.51442975
0.94390002
4.0896E-06
0.86985617
0.51442975
0.48557025
1.05943424
2.2518E-06
9.82541037
10
0.35989104
0.45602401
$ 5.4149
$ 5.4437
$ 5.3981
$ 0.0168

19
1.5
20.0000%
7.00%
7.0000%
100
110
0.07894737
1.05780409
0.94535463
1.1189495
1
0.48595491
0.51404509
0.94535463
2.0527E-06
0.86314432
0.51404509
0.48595491
1.05780409
1.11E-06
10.3480285
11
0.28058751
0.36951304
$ 5.4800
$ 5.4474
$ 5.3981
$ 0.0819

20
1.5
20.0000%
7.00%
7.0000%
100
110
0.075
1.05630002
0.94670073
1.11576973
1
0.48631036
0.51368964
0.94670073
1.0303E-06
0.85648426
0.51368964
0.48631036
1.05630002
5.4736E-07
10.8700589
11
0.36442646
0.46069286
$ 5.3861
$ 5.4330
$ 5.3981
-$ 0.0120

21
1.5
20.0000%
7.00%
7.0000%
100
110
0.07142857
1.05490662
0.94795121
1.11282797
1
0.48664012
0.51335988
0.94795121
5.1716E-07
0.84987559
0.51335988
0.48664012
1.05490662
2.7E-07
11.3915451
12
0.2881548
0.37786285
$ 5.4823
$ 5.4342
$ 5.3981
$ 0.0842

22
1.5
20.0000%
7.00%
7.0000%
100
110
0.06818182
1.05361098
0.94911691
1.11009611
1
0.48694714
0.51305286
0.94911691
2.5958E-07
0.84331792
0.51305286
0.48694714
1.05361098
1.3323E-07
11.9125255
12
0.36834637
0.46472209
$ 5.3606
$ 5.4215
$ 5.3981
-$ 0.0374

$2.0000

binomial call option price vs # time steps

$1.5000

$7.5000

$1.0000

$6.5000

option price

$7.0000

call option value

n
number of time steps
T
term to maturity
sigma
volatility per annum
r
continuously compounded risk free interest rate
y
dividend yield
S
stock price at start
K
exercise price
dT
delta T = length of time step
u
up factor
d
down factor
u/d
ratio of up to down factor
R
per period accumulation factor
q
probability of up step
1-q
probability of down step
q/(1-q)
ratio of up to down probability
(1-q)^n
d^n
q' = u.q/R
1-q'
q'/(1-q')
(1-q')^n
j
b
binomial cdf BIN(n,b,q)
binomial cdf BIN(n,b,q')
call option value

$0.5000

black scholes

$6.0000

$5.5000

$5.0000
$1

13

17

21

25

29

33

37

41

45

49

53

57

61

65

69

73

77

81

85

89

93

97
$4.5000

-$0.5000

$4.0000
1

13

17

21

25

29

33

37

41

45

49

53

# time steps

57

61

65

69

73

77

81

85

89

93

97

23
1.5
20.0000%
7.00%
7.0000%
100
110
0.06521739
1.05240223
0.95020703
1.10755046
1
0.48723393
0.51276607
0.95020703
1.3029E-07
0.83681084
0.51276607
0.48723393
1.05240223
6.576E-08
12.4330342
13
0.29479211
0.38515143
$ 5.4812
$ 5.4209
$ 5.3981
$ 0.0831

24
1.5
20.0000%
7.00%
7.0000%
100
110
0.0625
1.0512711
0.95122942
1.10517092
1
0.4875026
0.5124974
0.95122942
6.5399E-08
0.83035397
0.5124974
0.4875026
1.0512711
3.2467E-08
12.9531018
13
0.3717785
0.46824544
$ 5.3379
$ 5.4096
$ 5.3981
-$ 0.0601

25
1.5
20.0000%
7.00%
7.0000%
100
110
0.06
1.05020963
0.95219085
1.10294027
1
0.487755
0.512245
0.95219085
3.2826E-08
0.82394692
0.512245
0.487755
1.05020963
1.6034E-08
13.4727554
14
0.30067582
0.39158564
$ 5.4778
$ 5.4079
$ 5.3981
$ 0.0797

26
1.5
20.0000%
7.00%
7.0000%
100
110
0.05769231
1.04921099
0.95309714
1.10084371
1
0.4879927
0.5120073
0.95309714
1.6477E-08
0.81758931
0.5120073
0.4879927
1.04921099
7.9204E-09
13.9920198
14
0.37481634
0.47136054
$ 5.3175
$ 5.3977
$ 5.3981
-$ 0.0805

27
1.5
20.0000%
7.00%
7.0000%
100
110
0.05555556
1.04826923
0.9539534
1.09886838
1
0.48821707
0.51178293
0.9539534
8.2702E-09
0.81128076
0.51178293
0.48821707
1.04826923
3.9134E-09
14.5109171
15
0.30593874
0.39731999
$ 5.4728
$ 5.3952
$ 5.3981
$ 0.0748

28
1.5
20.0000%
7.00%
7.0000%
100
110
0.05357143
1.04737916
0.95476408
1.0970031
1
0.48842931
0.51157069
0.95476408
4.1511E-09
0.80502088
0.51157069
0.48842931
1.04737916
1.934E-09
15.0294676
16
0.24535174
0.32914052
$ 5.3347
$ 5.4038
$ 5.3981
-$ 0.0633

29
1.5
20.0000%
7.00%
7.0000%
100
110
0.05172414
1.04653623
0.95553309
1.09523808
1
0.48863049
0.51136951
0.95553309
2.0836E-09
0.7988093
0.51136951
0.48863049
1.04653623
9.5595E-10
15.5476897
16
0.31068304
0.40247257
$ 5.4669
$ 5.4008
$ 5.3981
$ 0.0688

30
1.5
20.0000%
7.00%
7.0000%
100
110
0.05
1.04573643
0.9562639
1.09356469
1
0.48882152
0.51117848
0.9562639
1.0458E-09
0.79264565
0.51117848
0.48882152
1.04573643
4.7262E-10
16.0656002
17
0.25142908
0.33606984
$ 5.3567
$ 5.4118
$ 5.3981
-$ 0.0413

31
1.5
20.0000%
7.00%
7.0000%
100
110
0.0483871
1.04497623
0.95695957
1.09197531
1
0.48900324
0.51099676
0.95695957
5.2494E-10
0.78652956
0.51099676
0.48900324
1.04497623
2.337E-10
16.5832146
17
0.31498881
0.40713534
$ 5.4603
$ 5.4085
$ 5.3981
$ 0.0622

32
1.5
20.0000%
7.00%
7.0000%
100
110
0.046875
1.04425245
0.95762284
1.09046318
1
0.48917637
0.51082363
0.95762284
2.6349E-10
0.78046067
0.51082363
0.48917637
1.04425245
1.1558E-10
17.1005472
18
0.25699532
0.34238825
$ 5.3743
$ 5.4173
$ 5.3981
-$ 0.0237

33
1.5
20.0000%
7.00%
7.0000%
100
110
0.04545455
1.04356229
0.95825616
1.08902226
1
0.48934158
0.51065842
0.95825616
1.3225E-10
0.7744386
0.51065842
0.48934158
1.04356229
5.7174E-11
17.6176109
18
0.31891979
0.41138114
$ 5.4532
$ 5.4138
$ 5.3981
$ 0.0551

34
1.5
20.0000%
7.00%
7.0000%
100
110
0.04411765
1.04290324
0.95886172
1.08764717
1
0.48949944
0.51050056
0.95886172
6.6383E-11
0.768463
0.51050056
0.48949944
1.04290324
2.8286E-11
18.134418
19
0.26211832
0.34818015
$ 5.3884
$ 5.4208
$ 5.3981
-$ 0.0096

35
1.5
20.0000%
7.00%
7.0000%
100
110
0.04285714
1.04227303
0.9594415
1.08633307
1
0.4896505
0.5103495
0.9594415
3.332E-11
0.7625335
0.5103495
0.4896505
1.04227303
1.3996E-11
18.6509798
19
0.32252746
0.41526852
$ 5.4459
$ 5.4172
$ 5.3981
$ 0.0478

36
1.5
20.0000%
7.00%
7.0000%
100
110
0.04166667
1.04166962
0.95999728
1.0850756
1
0.48979521
0.51020479
0.95999728
1.6725E-11
0.75664976
0.51020479
0.48979521
1.04166962
6.9266E-12
19.1673065
20
0.26685396
0.35351455
$ 5.3997
$ 5.4228
$ 5.3981
$ 0.0016

37
1.5
20.0000%
7.00%
7.0000%
100
110
0.04054054
1.04109117
0.96053067
1.08387082
1
0.48993402
0.51006598
0.96053067
8.3947E-12
0.75081142
0.51006598
0.48993402
1.04109117
3.4284E-12
19.6834081
20
0.32585392
0.41884513
$ 5.4385
$ 5.4191
$ 5.3981
$ 0.0404

38
1.5
20.0000%
7.00%
7.0000%
100
110
0.03947368
1.04053601
0.96104315
1.08271518
1
0.49006731
0.50993269
0.96104315
4.2136E-12
0.74501812
0.50993269
0.49006731
1.04053601
1.6971E-12
20.1992935
21
0.27124877
0.35844843
$ 5.4087
$ 5.4236
$ 5.3981
$ 0.0106

39
1.5
20.0000%
7.00%
7.0000%
100
110
0.03846154
1.04000261
0.96153604
1.08160544
1
0.49019545
0.50980455
0.96153604
2.115E-12
0.73926953
0.50980455
0.49019545
1.04000261
8.4024E-13
20.7149712
21
0.32893396
0.42215021
$ 5.4310
$ 5.4198
$ 5.3981
$ 0.0329

40
1.5
20.0000%
7.00%
7.0000%
100
110
0.0375
1.03948961
0.96201058
1.08053865
1
0.49031875
0.50968125
0.96201058
1.0616E-12
0.73356529
0.50968125
0.49031875
1.03948961
4.1604E-13
21.2304491
22
0.27534178
0.36302934
$ 5.4158
$ 5.4234
$ 5.3981
$ 0.0177

41
1.5
20.0000%
7.00%
7.0000%
100
110
0.03658537
1.03899573
0.96246786
1.07951213
1
0.49043752
0.50956248
0.96246786
5.3284E-13
0.72790507
0.50956248
0.49043752
1.03899573
2.0603E-13
21.7457348
22
0.33179661
0.42521641
$ 5.4236
$ 5.4197
$ 5.3981
$ 0.0255

42
1.5
20.0000%
7.00%
7.0000%
100
110
0.03571429
1.03851982
0.96290892
1.07852341
1
0.49055201
0.50944799
0.96290892
2.6745E-13
0.72228852
0.50944799
0.49055201
1.03851982
1.0204E-13
22.2608352
23
0.27916607
0.36729731
$ 5.4213
$ 5.4224
$ 5.3981
$ 0.0232

43
1.5
20.0000%
7.00%
7.0000%
100
110
0.03488372
1.03806081
0.9633347
1.07757025
1
0.49066249
0.50933751
0.9633347
1.3424E-13
0.71671531
0.50933751
0.49066249
1.03806081
5.0543E-14
22.7757568
23
0.33446635
0.42807113
$ 5.4162
$ 5.4187
$ 5.3981
$ 0.0181

44
1.5
20.0000%
7.00%
7.0000%
100
110
0.03409091
1.03761774
0.96374606
1.07665057
1
0.49076919
0.50923081
0.96374606
6.7382E-14
0.71118511
0.50923081
0.49076919
1.03761774
2.5038E-14
23.2905059
24
0.28274984
0.3712863
$ 5.4255
$ 5.4208
$ 5.3981
$ 0.0274

45
1.5
20.0000%
7.00%
7.0000%
100
110
0.03333333
1.03718969
0.96414379
1.07576246
1
0.4908723
0.5091277
0.96414379
3.3822E-14
0.70569757
0.5091277
0.4908723
1.03718969
1.2405E-14
23.8050884
24
0.33696394
0.43073757
$ 5.4089
$ 5.4172
$ 5.3981
$ 0.0108

46
1.5
20.0000%
7.00%
7.0000%
100
110
0.0326087
1.03677585
0.96452864
1.07490417
1
0.49097204
0.50902796
0.96452864
1.6976E-14
0.70025238
0.50902796
0.49097204
1.03677585
6.1463E-15
24.3195097
25
0.28611733
0.37502532
$ 5.4286
$ 5.4188
$ 5.3981
$ 0.0306

47
1.5
20.0000%
7.00%
7.0000%
100
110
0.03191489
1.03637545
0.96490128
1.07407407
1
0.49106858
0.50893142
0.96490128
8.521E-15
0.6948492
0.50893142
0.49106858
1.03637545
3.0457E-15
24.8337751
25
0.33930716
0.43323552
$ 5.4017
$ 5.4152
$ 5.3981
$ 0.0037

48
1.5
20.0000%
7.00%
7.0000%
100
110
0.03125
1.03598777
0.96526236
1.07327066
1
0.49116209
0.50883791
0.96526236
4.277E-15
0.68948771
0.50883791
0.49116209
1.03598777
1.5094E-15
25.3478895
26
0.28928947
0.37853936
$ 5.4308
$ 5.4163
$ 5.3981
$ 0.0328

49
1.5
20.0000%
7.00%
7.0000%
100
110
0.03061224
1.03561216
0.96561245
1.07249255
1
0.49125271
0.50874729
0.96561245
2.1468E-15
0.6841676
0.50874729
0.49125271
1.03561216
7.4807E-16
25.8618576
26
0.3415113
0.43558198
$ 5.3947
$ 5.4128
$ 5.3981
-$ 0.0034

50
1.5
20.0000%
7.00%
7.0000%
100
110
0.03
1.035248
0.96595212
1.07173843
1
0.49134061
0.50865939
0.96595212
1.0776E-15
0.67888853
0.50865939
0.49134061
1.035248
3.7079E-16
26.3756839
27
0.29228449
0.38185004
$ 5.4323
$ 5.4135
$ 5.3981
$ 0.0342

51
1.5
20.0000%
7.00%
7.0000%
100
110
0.02941176
1.03489474
0.96628185
1.07100711
1
0.49142591
0.50857409
0.96628185
5.4086E-16
0.67365019
0.50857409
0.49142591
1.03489474
1.8381E-16
26.8893727
27
0.34358962
0.43779164
$ 5.3878
$ 5.4101
$ 5.3981
-$ 0.0102

52
1.5
20.0000%
7.00%
7.0000%
100
110
0.02884615
1.03455182
0.96660213
1.07029747
1
0.49150874
0.50849126
0.96660213
2.7148E-16
0.66845228
0.50849126
0.49150874
1.03455182
9.1122E-17
27.4029279
28
0.2951183
0.38497618
$ 5.4331
$ 5.4105
$ 5.3981
$ 0.0350

53
1.5
20.0000%
7.00%
7.0000%
100
110
0.0283019
1.0342188
0.9669134
1.0696085
1
0.4915892
0.5084108
0.9669134
1.363E-16
0.6632945
0.5084108
0.4915892
1.0342188
4.518E-17
27.916353
28
0.3455537
0.4398773
$ 5.3811
$ 5.4071
$ 5.3981
-$ 0.0170

54
1.5
20.0000%
7.00%
7.0000%
100
110
0.02777778
1.03389511
0.9672161
1.06893911
1
0.49166744
0.50833256
0.9672161
6.8396E-17
0.65817646
0.50833256
0.49166744
1.03389511
2.2401E-17
28.4296527
29
0.29780487
0.38793425
$ 5.4334
$ 5.4072
$ 5.3981
$ 0.0353

55
1.5
20.0000%
7.00%
7.0000%
100
110
0.02727273
1.03358042
0.96751059
1.06828849
1
0.49174352
0.50825648
0.96751059
3.4331E-17
0.65309795
0.50825648
0.49174352
1.03358042
1.1108E-17
28.9428295
29
0.34741357
0.44185006
$ 5.3745
$ 5.4039
$ 5.3981
-$ 0.0236

56
1.5
20.0000%
7.00%
7.0000%
100
110
0.02678571
1.03327429
0.96779723
1.06765576
1
0.49181756
0.50818244
0.96779723
1.7232E-17
0.64805861
0.50818244
0.49181756
1.03327429
5.5084E-18
29.455887
30
0.30035657
0.39073877
$ 5.4331
$ 5.4038
$ 5.3981
$ 0.0351

57
1.5
20.0000%
7.00%
7.0000%
100
110
0.02631579
1.03297634
0.96807639
1.06704012
1
0.49188964
0.50811036
0.96807639
8.6493E-18
0.64305816
0.50811036
0.49188964
1.03297634
2.7319E-18
29.9688285
30
0.34917822
0.44371979
$ 5.3681
$ 5.4006
$ 5.3981
-$ 0.0300

58
1.5
20.0000%
7.00%
7.0000%
100
110
0.02586207
1.03268621
0.96834836
1.0664408
1
0.49195985
0.50804015
0.96834836
4.3414E-18
0.6380963
0.50804015
0.49195985
1.03268621
1.3549E-18
30.481657
31
0.30278432
0.39340252
$ 5.4325
$ 5.4003
$ 5.3981
$ 0.0345

59
1.5
20.0000%
7.00%
7.0000%
100
110
0.02542373
1.03240356
0.96861347
1.06585712
1
0.49202827
0.50797173
0.96861347
2.1791E-18
0.63317272
0.50797173
0.49202827
1.03240356
6.7207E-19
30.9943753
31
0.35085549
0.44549513
$ 5.3618
$ 5.3972
$ 5.3981
-$ 0.0363

60
1.5
20.0000%
7.00%
7.0000%
100
110
0.025
1.03212809
0.96887199
1.06528839
1
0.49209496
0.50790504
0.96887199
1.0938E-18
0.62828713
0.50790504
0.49209496
1.03212809
3.3338E-19
31.5069863
32
0.30509786
0.39593686
$ 5.4316
$ 5.3967
$ 5.3981
$ 0.0335

61
1.5
20.0000%
7.00%
7.0000%
100
110
0.02459016
1.03185949
0.9691242
1.064734
1
0.49216002
0.50783998
0.9691242
5.49E-19
0.62343924
0.50783998
0.49216002
1.03185949
1.6538E-19
32.0194926
33
0.2628589
0.34875132
$ 5.3665
$ 5.3991
$ 5.3981
-$ 0.0315

62
1.5
20.0000%
7.00%
7.0000%
100
110
0.02419355
1.03159748
0.96937034
1.06419336
1
0.49222349
0.50777651
0.96937034
2.7556E-19
0.61862876
0.50777651
0.49222349
1.03159748
8.2047E-20
32.5318968
33
0.30730589
0.39835193
$ 5.4303
$ 5.3984
$ 5.3981
$ 0.0323

63
1.5
20.0000%
7.00%
7.0000%
100
110
0.02380952
1.0313418
0.96961066
1.0636659
1
0.49228544
0.50771456
0.96961066
1.3832E-19
0.61385539
0.50771456
0.49228544
1.0313418
4.0707E-20
33.0442014
34
0.26553682
0.35177535
$ 5.3736
$ 5.4020
$ 5.3981
-$ 0.0245

64
1.5
20.0000%
7.00%
7.0000%
100
110
0.0234375
1.03109219
0.96984538
1.06315111
1
0.49234594
0.50765406
0.96984538
6.9426E-20
0.60911885
0.50765406
0.49234594
1.03109219
2.0198E-20
33.5564087
34
0.30941622
0.40065676
$ 5.4289
$ 5.4012
$ 5.3981
$ 0.0308

65
1.5
20.0000%
7.00%
7.0000%
100
110
0.02307692
1.03084843
0.97007472
1.06264848
1
0.49240504
0.50759496
0.97007472
3.4847E-20
0.60441887
0.50759496
0.49240504
1.03084843
1.0022E-20
34.068521
35
0.26810304
0.35466761
$ 5.3798
$ 5.4043
$ 5.3981
-$ 0.0182

66
1.5
20.0000%
7.00%
7.0000%
100
110
0.02272727
1.03061028
0.97029888
1.06215756
1
0.49246279
0.50753721
0.97029888
1.7491E-20
0.59975514
0.50753721
0.49246279
1.03061028
4.9733E-21
34.5805405
35
0.31143584
0.40285947
$ 5.4272
$ 5.4035
$ 5.3981
$ 0.0291

67
1.5
20.0000%
7.00%
7.0000%
100
110
0.02238806
1.03037754
0.97051805
1.06167788
1
0.49251924
0.50748076
0.97051805
8.7794E-21
0.59512741
0.50748076
0.49251924
1.03037754
2.4681E-21
35.0924693
36
0.2705651
0.35743734
$ 5.3854
$ 5.4063
$ 5.3981
-$ 0.0127

68
1.5
20.0000%
7.00%
7.0000%
100
110
0.02205882
1.03015
0.97073241
1.06120903
1
0.49257444
0.50742556
0.97073241
4.4067E-21
0.59053538
0.50742556
0.49257444
1.03015
1.2249E-21
35.6043094
36
0.31337109
0.40496736
$ 5.4253
$ 5.4053
$ 5.3981
$ 0.0272

69
1.5
20.0000%
7.00%
7.0000%
100
110
0.02173913
1.02992748
0.97094215
1.06075061
1
0.49262844
0.50737156
0.97094215
2.2119E-21
0.58597878
0.50737156
0.49262844
1.02992748
6.0792E-22
36.1160627
37
0.27292987
0.36009292
$ 5.3902
$ 5.4078
$ 5.3981
-$ 0.0078

70
1.5
20.0000%
7.00%
7.0000%
100
110
0.02142857
1.02970979
0.97114742
1.06030225
1
0.49268127
0.50731873
0.97114742
1.1102E-21
0.58145734
0.50731873
0.49268127
1.02970979
3.0173E-22
36.6277312
37
0.31522769
0.40698704
$ 5.4232
$ 5.4067
$ 5.3981
$ 0.0252

71
1.5
20.0000%
7.00%
7.0000%
100
110
0.02112676
1.02949675
0.97134838
1.05986357
1
0.49273299
0.50726701
0.97134838
5.5727E-22
0.57697079
0.50726701
0.49273299
1.02949675
1.4977E-22
37.1393166
38
0.27520361
0.36264194
$ 5.3946
$ 5.4089
$ 5.3981
-$ 0.0035

72
1.5
20.0000%
7.00%
7.0000%
100
110
0.0208333
1.0292882
0.9715452
1.0594342
1
0.4927836
0.5072164
0.9715452
2.797E-22
0.5725189
0.5072164
0.4927836
1.0292882
7.434E-23
37.650821
38
0.3170108
0.4089245
$ 5.4211
$ 5.4078
$ 5.3981
$ 0.0230

73
1.5
20.0000%
7.00%
7.0000%
100
110
0.02054795
1.02908402
0.97173795
1.05901393
1
0.49283321
0.50716679
0.97173795
1.404E-22
0.56810128
0.50716679
0.49283321
1.02908402
3.6906E-23
38.1622452
39
0.27739201
0.36509132
$ 5.3984
$ 5.4097
$ 5.3981
$ 0.0003

74
1.5
20.0000%
7.00%
7.0000%
100
110
0.02027027
1.02888402
0.97192684
1.05860233
1
0.4928818
0.5071182
0.97192684
7.0471E-23
0.56371778
0.5071182
0.4928818
1.02888402
1.8322E-23
38.6735918
39
0.31872528
0.41078505
$ 5.4188
$ 5.4086
$ 5.3981
$ 0.0207

75
1.5
20.0000%
7.00%
7.0000%
100
110
0.02
1.02868807
0.97211198
1.05819914
1
0.4929294
0.5070706
0.97211198
3.5372E-23
0.55936811
0.5070706
0.4929294
1.02868807
9.0961E-24
39.1848619
40
0.27950028
0.36744735
$ 5.4017
$ 5.4102
$ 5.3981
$ 0.0036

76
1.5
20.0000%
7.00%
7.0000%
100
110
0.01973684
1.02849603
0.97229349
1.05780409
1
0.49297607
0.50702393
0.97229349
1.7754E-23
0.555052
0.50702393
0.49297607
1.02849603
4.5161E-24
39.6960571
40
0.3203753
0.41257376
$ 5.4164
$ 5.4091
$ 5.3981
$ 0.0184

77
1.5
20.0000%
7.00%
7.0000%
100
110
0.01948052
1.02830779
0.97247148
1.05741691
1
0.49302182
0.50697818
0.97247148
8.9116E-24
0.5507692
0.50697818
0.49302182
1.02830779
2.2423E-24
40.2071789
41
0.2815332
0.36971579
$ 5.4046
$ 5.4105
$ 5.3981
$ 0.0065

78
1.5
20.0000%
7.00%
7.0000%
100
110
0.01923077
1.02812321
0.97264607
1.05703733
1
0.49306669
0.50693331
0.97264607
4.473E-24
0.54651944
0.50693331
0.49306669
1.02812321
1.1134E-24
40.7182287
41
0.32196485
0.41429506
$ 5.4140
$ 5.4093
$ 5.3981
$ 0.0159

79
1.5
20.0000%
7.00%
7.0000%
100
110
0.01898734
1.02794217
0.97281737
1.05666511
1
0.49311071
0.50688929
0.97281737
2.2452E-24
0.54230247
0.50688929
0.49311071
1.02794217
5.5285E-25
41.2292079
42
0.28349516
0.37190191
$ 5.4071
$ 5.4105
$ 5.3981
$ 0.0090

80
1.5
20.0000%
7.00%
7.0000%
100
110
0.01875
1.0277646
0.9729855
1.0563
1
0.4931539
0.5068461
0.9729855
1.127E-24
0.538118
0.5068461
0.4931539
1.0277646
2.745E-25
41.740118
42
0.3234975
0.4159531
$ 5.4115
$ 5.4093
$ 5.3981
$ 0.0134

81
1.5
20.0000%
7.00%
7.0000%
100
110
0.01851852
1.02759031
0.97315048
1.05594184
1
0.49319628
0.50680372
0.97315048
5.6565E-25
0.5339659
0.50680372
0.49319628
1.02759031
1.3633E-25
42.2509598
43
0.2853902
0.37401056
$ 5.4093
$ 5.4104
$ 5.3981
$ 0.0112

82
1.5
20.0000%
7.00%
7.0000%
100
110
0.01829268
1.02741926
0.97331249
1.05559034
1
0.49323789
0.50676211
0.97331249
2.8392E-25
0.52984579
0.50676211
0.49323789
1.02741926
6.7706E-26
42.761735
43
0.3249767
0.41755163
$ 5.4089
$ 5.4091
$ 5.3981
$ 0.0108

83
1.5
20.0000%
7.00%
7.0000%
100
110
0.0180723
1.0272513
0.9734716
1.0552453
1
0.4932787
0.5067213
0.9734716
1.425E-25
0.5257575
0.5067213
0.4932787
1.0272513
3.363E-26
43.272445
44
0.287222
0.3760462
$ 5.4111
$ 5.4100
$ 5.3981
$ 0.0131

84
1.5
20.0000%
7.00%
7.0000%
100
110
0.01785714
1.02708647
0.97362786
1.05490662
1
0.49331887
0.50668113
0.97362786
7.1531E-26
0.52170071
0.50668113
0.49331887
1.02708647
1.67E-26
43.7830902
44
0.32640536
0.41909414
$ 5.4063
$ 5.4087
$ 5.3981
$ 0.0082

85
1.5
20.0000%
7.00%
7.0000%
100
110
0.01764706
1.02692453
0.97378139
1.054574
1
0.49335828
0.50664172
0.97378139
3.5904E-26
0.51767525
0.50664172
0.49335828
1.02692453
8.2948E-27
44.2936724
45
0.28899413
0.3780129
$ 5.4127
$ 5.4095
$ 5.3981
$ 0.0146

86
1.5
20.0000%
7.00%
7.0000%
100
110
0.01744186
1.02676546
0.97393226
1.0542473
1
0.493397
0.506603
0.97393226
1.8022E-26
0.51368084
0.506603
0.493397
1.02676546
4.12E-27
44.8041926
45
0.32778635
0.4205838
$ 5.4036
$ 5.4082
$ 5.3981
$ 0.0056

87
1.5
20.0000%
7.00%
7.0000%
100
110
0.01724138
1.02660915
0.97408054
1.05392635
1
0.49343506
0.50656494
0.97408054
9.0457E-27
0.50971726
0.50656494
0.49343506
1.02660915
2.0465E-27
45.3146518
46
0.29070965
0.37991448
$ 5.4140
$ 5.4088
$ 5.3981
$ 0.0159

88
1.5
20.0000%
7.00%
7.0000%
100
110
0.01704545
1.02645554
0.97422631
1.05361098
1
0.49347246
0.50652754
0.97422631
4.5404E-27
0.50578426
0.50652754
0.49347246
1.02645554
1.0166E-27
45.825051
46
0.32912227
0.42202356
$ 5.4010
$ 5.4075
$ 5.3981
$ 0.0029

89
1.5
20.0000%
7.00%
7.0000%
100
110
0.0168539
1.0263046
0.9743696
1.053301
1
0.4935092
0.5064908
0.9743696
2.279E-27
0.5018816
0.5064908
0.4935092
1.0263046
5.05E-28
46.335391
47
0.2923716
0.3817544
$ 5.4151
$ 5.4080
$ 5.3981
$ 0.0170

90
1.5
20.0000%
7.00%
7.0000%
100
110
0.01666667
1.02615611
0.97451059
1.05299636
1
0.49354539
0.50645461
0.97451059
1.1439E-27
0.49800906
0.50645461
0.49354539
1.02615611
2.5086E-28
46.8456737
47
0.33041551
0.42341614
$ 5.3983
$ 5.4067
$ 5.3981
$ 0.0002

91
1.5
20.0000%
7.00%
7.0000%
100
110
0.01648352
1.02601014
0.97464924
1.05269681
1
0.49358095
0.50641905
0.97464924
5.7417E-28
0.4941664
0.50641905
0.49358095
1.02601014
1.2463E-28
47.3558991
48
0.29398257
0.383536
$ 5.4159
$ 5.4071
$ 5.3981
$ 0.0179

92
1.5
20.0000%
7.00%
7.0000%
100
110
0.01630435
1.02586658
0.97478563
1.05240223
1
0.49361592
0.50638408
0.97478563
2.8819E-28
0.49035339
0.50638408
0.49361592
1.02586658
6.1916E-29
47.8660685
48
0.33166831
0.42476405
$ 5.3955
$ 5.4057
$ 5.3981
-$ 0.0025

93
1.5
20.0000%
7.00%
7.0000%
100
110
0.01612903
1.02572535
0.97491984
1.0521125
1
0.49365034
0.50634966
0.97491984
1.4466E-28
0.48656981
0.50634966
0.49365034
1.02572535
3.0762E-29
48.3761828
49
0.29554526
0.3852622
$ 5.4166
$ 5.4061
$ 5.3981
$ 0.0185

94
1.5
20.0000%
7.00%
7.0000%
100
110
0.01595745
1.02558641
0.97505192
1.05182749
1
0.4936842
0.5063158
0.97505192
7.2608E-29
0.48281541
0.5063158
0.4936842
1.02558641
1.5284E-29
48.8862428
49
0.33288274
0.42606964
$ 5.3928
$ 5.4047
$ 5.3981
-$ 0.0052

95
1.5
20.0000%
7.00%
7.0000%
100
110
0.01578947
1.02544969
0.97518193
1.05154706
1
0.49371752
0.50628248
0.97518193
3.6445E-29
0.47908999
0.50628248
0.49371752
1.02544969
7.5938E-30
49.3962495
50
0.29706198
0.38693584
$ 5.4170
$ 5.4049
$ 5.3981
$ 0.0190

96
1.5
20.0000%
7.00%
7.0000%
100
110
0.015625
1.02531512
0.97530991
1.0512711
1
0.49375033
0.50624967
0.97530991
1.8293E-29
0.47539331
0.50624967
0.49375033
1.02531512
3.7732E-30
49.9062036
50
0.33406072
0.42733505
$ 5.3901
$ 5.4036
$ 5.3981
-$ 0.0080

97
1.5
20.0000%
7.00%
7.0000%
100
110
0.01546392
1.02518266
0.97543593
1.05099948
1
0.49378262
0.50621738
0.97543593
9.1818E-30
0.47172515
0.50621738
0.49378262
1.02518266
1.8749E-30
50.416106
51
0.29853497
0.38855951
$ 5.4173
$ 5.4037
$ 5.3981
$ 0.0193

98
1.5
20.0000%
7.00%
7.0000%
100
110
0.01530612
1.02505225
0.97556003
1.05073211
1
0.49381442
0.50618558
0.97556003
4.6087E-30
0.4680853
0.50618558
0.49381442
1.02505225
9.3164E-31
50.9259575
51
0.33520403
0.42856232
$ 5.3874
$ 5.4023
$ 5.3981
-$ 0.0107

99
1.5
20.0000%
7.00%
7.0000%
100
110
0.01515152
1.02492383
0.97568226
1.05046886
1
0.49384574
0.50615426
0.97568226
2.3133E-30
0.46447353
0.50615426
0.49384574
1.02492383
4.6296E-31
51.4357589
52
0.29996627
0.39013564
$ 5.4175
$ 5.4024
$ 5.3981
$ 0.0194

100
1.5
20.0000%
7.00%
7.0000%
100
110
0.015
1.02479736
0.97580267
1.05020963
1
0.49387658
0.50612342
0.97580267
1.1611E-30
0.46088963
0.50612342
0.49387658
1.02479736
2.3006E-31
51.9455109
52
0.33631436
0.4297533
$ 5.3846
$ 5.4011
$ 5.3981
-$ 0.0134

black&scholes

BLACK & SCHOLES OPTION PRICING MODEL


FOR PRICING EUROPEAN CALL AND PUT OPTIONS
INPUTS
Rf
vol
term
spot price
strike price
div yield q
d1
d2
d1
d2

7.00% CONTINUOUS RISK FREE INTEREST RATE ( PA)


20.00% VOLATILITY PA
1.5000 TERM TO MATURITY (YEARS)
$ 100.0000 SPOT PRICE
$ 110.0000 STRIKE PRICE
7.00% CONTINUOUS DIVIDEND YIELD PA
Results - stock with dividend yield q
-0.266627693 N(d1)
0.3949 N(-d1)
0.6051
-0.511576667 N(d2)
0.3045 N(-d2)
0.6955
Results - stock with no dividend
0.162033012 N(d1)
0.56436007 N(-d1)
0.43563993
-0.082915962 N(d2)
0.46695918 N(-d2)
0.53304082

Put Call Parity check


1) for asset with no dividend
2) for asset with dividend yield q

$
$

0.9643 $
(9.0032) $

0.9643 ok
(9.0032) ok

Page 5

check input is valid


OK
OK
OK
OK
OK
OK
C
P

$
$

5.39807 CALL OPTION VALUE


14.40131 PUT OPTION VALUE

C
P

$
$

10.1904 CALL OPTION VALUE


9.2261 PUT OPTION VALUE

black&scholes

CALL OPTION VALUE


PUT OPTION VALUE
CALL OPTION VALUE
PUT OPTION VALUE

Page 6