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4156093
K= 55 ST2= 31.8814076
r= 4%
1.17351087 23.4702174 3.47021742
u= 1.5683121855 0.85214379 1.95050701
d= 0.6376281516
1.5
S 100
vol 58.80%
r 5%
K 109.2
Binomial normal su
u 0.588 1.80038404 180.038404 qu 0.49456295
d -0.59 0.55543705 55.5437049 1.244947
sd
qu= 0.39725623
qd= 0.60274377
C= 26.8009501
qd= 0.54248717
qu= 0.46
qd= 0.54
qu= 0.4575
qd= 0.54
1 / 1+r
Call Opcin abandono 0.96153846
Opcin abandono 0.68998725
qu max (VR+-VA+, 0) qd max (VR- -- VA-,0)
0 0.71758674
100
66.66
0.86070798 0.66666667
0.17929202 66.6666667
0.3011
0.59545674
0.40454326
14.18
8.11882359
0.492
41.25
1.22140276 18.3210414 3.32104137 0.22126925
0.81873075 12.2809613 0.40267201
1.75473107 0.54950243
0.45049757
13.4615385
1.53846154
0.21626954
4.47 2.612715
2.51222596
4.32
20 2.24307692
13.332 0.70467692
82.652
78.7161905
Put T= 0.5 Subyacente S0= 20
K= 21
r= 7%
u= 1.1
d= 0.9
exp(-r*T)= 0.96560542
c= 9.73413686 p= 0.93248937
Paridad
p= 10.0118506 c= 0.65477563
CALL n= 2
u= 1.06971737 1.1
d= 0.92820642 0.9
r= 7% k= 18
T= 0.5
exp(r*T/2)= 1.01765402 G-call
22.8859051 4.88590508
21.3943474
S0= 20 19.8583706 1.85837064
18.5641284
17.2313432 0
3.70660718
precio 2.71956785
1.1542791
3.70660718 -17.6877402 1
2.71956785 -15.3166906 0.90181292
1.1542791 -11.978066 0.70740434
13.1323451
Probabilidad ProbabilidadeEsperanza
0 0.39953728 1.95210121
p= 0.63208961
1 0.46510467 0.86433686
1-p= 0.36791039 0.46510467
2 0.13535805 0
0.13535805
1 2.71956785
Rplica
4.88590508
1.85837064
0
CALL n= 4
u= 1.04880885 1.1
d= 0.9486833 0.9
r= 7%
T= 0.5 24.2
exp(r*T/4)= 1.00878839 23.0737947
22 21.88972362
20.976177 20.8710326
S0= 20 19.8997487 19.8
18.973666 18.8785593
18 17.90977387
17.0762994
16.2
T= 0.5
r= 0.07 p= 0.51500279
rn= 0.00035 1-p= 0.48499721
S0 20
exp(rn) 1.00035006
G-call Precio
K= 21 0.673149
Ganancia
0 7.35758882 0 3.749E-032 0 0
1 7.50622198 0 3.981E-030 0 1
2 7.65785772 0 2.093E-028 0 2
3 7.81255671 0 7.258E-027 0 3
4 7.97038082 0 1.869E-025 0 4
5 8.13139319 0 3.811E-024 0 5
6 8.29565823 0 6.407E-023 0 6
7 8.46324165 0 9.136E-022 0 7
8 8.63421047 0 1.128E-020 0 8
9 8.80863309 0 1.224E-019 0 9
10 8.98657928 0 1.183E-018 0 10
11 9.16812023 0 1.028E-017 0 11
12 9.35332854 0 8.093E-017 0 12
13 9.54227831 0 5.818E-016 0 13
14 9.73504512 0 3.839E-015 0 14
15 9.93170608 0 2.337E-014 0 15
16 10.1323398 0 1.318E-013 0 16
17 10.3370267 0 6.918E-013 0 17
18 10.5458485 0 3.387E-012 0 18
19 10.7588888 0 1.552E-011 0 19
20 10.9762327 0 6.675E-011 0 20
21 11.1979673 0 2.700E-010 0 21
22 11.4241813 0 1.030E-009 0 22
23 11.654965 0 3.708E-009 0 23
24 11.890411 0 1.263E-008 0 24
25 12.1306132 0 4.078E-008 0 25
26 12.3756678 0 1.249E-007 0 26
27 12.6256729 0 3.635E-007 0 27
28 12.8807284 0 1.006E-006 0 28
29 13.1409364 0 2.653E-006 0 29
30 13.4064009 0 6.668E-006 0 30
31 13.6772282 0 1.599E-005 0 31
32 13.9535265 0 3.661E-005 0 32
33 14.2354065 0 8.010E-005 0 33
34 14.5229807 0 0.0001676 0 34
35 14.8163644 0 0.0003356 0 35
36 15.1156748 0 0.00064344 0 36
37 15.4210317 0 0.00118183 0 37
38 15.7325572 0 0.00208058 0 38
39 16.050376 0 0.00351222 0 39
40 16.3746151 0 0.0056875 0 40
41 16.7054042 0 0.0088381 0 41
42 17.0428758 0 0.01318354 0 42
43 17.3871647 0 0.01888261 0 43
44 17.7384087 0 0.02597494 0 44
45 18.0967484 0 0.0343242 0 45
46 18.4623269 0 0.04357884 0 46
47 18.8352907 0 0.05316697 0 47
48 19.2157888 0 0.06233714 0 48
49 19.6039735 0 0.07024647 0 49
50 20 0 0.07608429 0 50
51 20.4040268 0 0.0792073 0 51
52 20.8162155 0 0.07925529 0 52
53 21.2367309 0.23673093 0.07621913 0.01804343 53
54 21.6657414 0.66574135 0.07044309 0.04689688 54
55 22.1034184 1.10341836 0.06256103 0.06903099 55
56 22.549937 1.54993703 0.05338248 0.08273948 56
57 23.005476 2.00547598 0.04375694 0.08775348 57
58 23.4702174 2.47021742 0.0344475 0.08509282 58
59 23.9443473 2.94434726 0.02603906 0.07666804 59
60 24.4280552 3.42805516 0.01889419 0.06477033 60
61 24.9215346 3.92153461 0.01315615 0.05159229 61
62 25.424983 4.42498301 0.00878764 0.03888514 62
63 25.9386017 4.93860173 0.00562841 0.02779646 63
64 26.4625962 5.46259625 0.00345523 0.01887455 64
65 26.9971762 5.99717615 0.00203206 0.01218664 65
66 27.5425553 6.54255529 0.00114428 0.0074865 66
67 28.0989518 7.09895181 0.0006166 0.00437724 67
68 28.6665883 7.66658829 0.00031775 0.00243603 68
69 29.2456918 8.24569179 0.00015648 0.00129027 69
70 29.836494 8.83649395 7.358E-005 0.00065023 70
71 30.4392311 9.43923111 3.302E-005 0.00031164 71
72 31.0541444 10.0541444 1.412E-005 0.00014197 72
73 31.6814797 10.6814797 5.751E-006 6.143E-005 73
74 32.321488 11.321488 2.228E-006 2.523E-005 74
75 32.9744254 11.9744254 8.202E-007 9.822E-006 75
76 33.640553 12.640553 2.865E-007 3.622E-006 76
77 34.3201372 13.3201372 9.483E-008 1.263E-006 77
78 35.01345 14.01345 2.969E-008 4.161E-007 78
79 35.7207686 14.7207686 8.780E-009 1.293E-007 79
80 36.442376 15.442376 2.447E-009 3.779E-008 80
81 37.1785608 16.1785608 6.417E-010 1.038E-008 81
82 37.9296176 16.9296176 1.579E-010 2.673E-009 82
83 38.6958467 17.6958467 3.636E-011 6.434E-010 83
84 39.4775546 18.4775546 7.813E-012 1.444E-010 84
85 40.2750541 19.2750541 1.562E-012 3.010E-011 85
86 41.0886642 20.0886642 2.892E-013 5.811E-012 86
87 41.9187103 20.9187103 4.942E-014 1.034E-012 87
88 42.7655244 21.7655244 7.753E-015 1.688E-013 88
89 43.6294453 22.6294453 1.110E-015 2.512E-014 89
90 44.5108186 23.5108186 1.441E-016 3.387E-015 90
91 45.4099968 24.4099968 1.681E-017 4.104E-016 91
92 46.3273395 25.3273395 1.746E-018 4.423E-017 92
93 47.2632139 26.2632139 1.595E-019 4.189E-018 93
94 48.2179941 27.2179941 1.261E-020 3.433E-019 94
95 49.1920622 28.1920622 8.459E-022 2.385E-020 95
96 50.1858078 29.1858078 4.678E-023 1.365E-021 96
97 51.1996284 30.1996284 2.049E-024 6.187E-023 97
98 52.2339295 31.2339295 6.659E-026 2.080E-024 98
99 53.2891248 32.2891248 1.429E-027 4.613E-026 99
100 54.3656366 33.3656366 1.517E-029 5.061E-028 100
G-call
k= 21 Probabilidade
3.2 0 0.12985704
0.8897236163 1 0.34585672
p= 0.600297277
0 2 0.34542854
1-p= 0.399702723
0 3 0.15333372
0 4 0.02552398
G-put Precio
K= 21 0.9508627398
Ganancia
7.3575888234 13.642411177 3.74907261E-032 5.114639E-031
7.506221977 13.493778023 3.98101850E-030 5.371898E-029
7.6578577195 13.34214228 2.09252059E-028 2.791871E-027
7.8125567072 13.187443293 7.25846699E-027 9.572062E-026
7.9703808217 13.029619178 1.86907614E-025 2.435335E-024
8.1313931948 12.868606805 3.81064567E-024 4.903770E-023
8.2956582336 12.704341766 6.40680148E-023 8.139420E-022
8.4632416464 12.536758354 9.13569151E-022 1.145320E-020
8.6342104686 12.365789531 1.12772896E-020 1.394526E-019
8.8086330901 12.19136691 1.22410986E-019 1.492357E-018
8.9865792823 12.013420718 1.18285670E-018 1.421016E-017
9.1681202261 11.831879774 1.02766674E-017 1.215923E-016
9.3533285402 11.64667146 8.09340750E-017 9.426126E-016
9.5422783104 11.45772169 5.81756270E-016 6.665601E-015
9.7350451192 11.264954881 3.83886318E-015 4.324462E-014
9.9317060758 11.068293924 2.33711548E-014 2.586788E-013
10.132339847 10.867660153 1.31840688E-013 1.432800E-012
10.33702669 10.66297331 6.91751595E-013 7.376129E-012
10.545848481 10.454151519 3.38708505E-012 3.540910E-011
10.758888752 10.241111248 1.55223223E-011 1.589658E-010
10.976232722 10.023767278 6.67547334E-011 6.691339E-010
11.197967331 9.8020326687 2.70036893E-010 2.646910E-009
11.424181277 9.575818723 0.000000001 9.859929E-009
11.654965047 9.3450349525 3.70795940E-009 3.465101E-008
11.890410959 9.1095890406 1.26323689E-008 1.150757E-007
12.130613194 8.8693868057 4.07782634E-008 3.616782E-007
12.375667836 8.6243321639 1.24907060E-007 1.077240E-006
12.62567291 8.3743270899 3.63517471E-007 3.044214E-006
12.880728422 8.1192715783 1.00637644E-006 0.000008171
13.140936396 7.8590636037 2.65317139E-006 2.085144E-005
13.406400921 7.5935990793 6.66764923E-006 5.063146E-005
13.677228184 7.3227718158 1.59874587E-005 0.0001170725
13.953526521 7.0464734786 3.66057149E-005 0.0002579412
14.235406455 6.7645935447 8.00966239E-005 0.0005418211
14.522980741 6.4770192585 0.0001676025 0.0010855645
14.816364414 6.1836355864 0.0003356037 0.0020752507
15.115674829 5.8843251709 0.0006434397 0.0037862086
15.421031716 5.5789682839 0.001181834 0.0065934143
15.732557221 5.2674427787 0.0020805769 0.0109593197
16.050375959 4.9496240408 0.0035122159 0.017384148
16.374615062 4.6253849384 0.0056874997 0.0263068755
16.705404228 4.2945957718 0.0088381044 0.0379560857
17.042875779 3.9571242207 0.0131835446 0.0521689236
17.387164708 3.612835292 0.0188826122 0.0682197679
17.738408734 3.2615912657 0.0259749428 0.0847196464
18.096748361 2.9032516393 0.0343242026 0.0996517976
18.462326928 2.5376730723 0.0435788394 0.1105888473
18.835290672 2.1647093283 0.0531669696 0.115091035
19.215788783 1.784211217 0.0623371416 0.1112226272
19.603973466 1.3960265339 0.070246468 0.0980659332
20 1 0.076084293 0.076084293
20.404026801 0.5959731995 0.0792072951 0.0472054251
20.816215484 0.1837845162 0.0792552908 0.0145658953
21.236730931 0 0.0762191282 0
21.665741353 0 0.0704430935 0
22.103418362 0 0.0625610324 0
22.549937032 0 0.0533824791 0
23.005475977 0 0.0437569361 0
23.47021742 0 0.0344475002 0
23.944347262 0 0.026039062 0
24.428055163 0 0.0188941904 0
24.921534612 0 0.0131561491 0
25.424983006 0 0.0087876358 0
25.938601733 0 0.0056284063 0
26.462596247 0 0.0034552346 0
26.997176152 0 0.0020320623 0
27.542555287 0 0.0011442778 0
28.098951811 0 0.0006166034 0
28.666588291 0 0.0003177469 0
29.245691789 0 0.0001564777 0
29.836493953 0 7.35845339E-005 0
30.439231112 0 3.30156456E-005 0
31.05414437 0 1.41206810E-005 0
31.6814797 0 5.75123557E-006 0
32.321488044 0 2.22824811E-006 0
32.974425414 0 8.20249503E-007 0
33.640552994 0 2.86511948E-007 0
34.320137244 0 9.48273466E-008 0
35.013450006 0 2.96918445E-008 0
35.720768615 0 8.78017377E-009 0
36.442376008 0 2.44738765E-009 0
37.178560837 0 6.41679383E-010 0
37.929617586 0 1.57880386E-010 0
38.695846688 0 3.63574099E-011 0
39.477554645 0 7.81327153E-012 0
40.275054149 0 1.56172413E-012 0
41.088664213 0 2.89246073E-013 0
41.91871029 0 4.94249911E-014 0
42.76552441 0 7.75313998E-015 0
43.62944531 0 1.11004148E-015 0
44.51081857 0 1.44065414E-016 0
45.409996751 0 1.68108117E-017 0
46.327339536 0 1.74627932E-018 0
47.263213874 0 1.59511167E-019 0
48.217994128 0 1.26133842E-020 0
49.192062223 0 8.45920627E-022 0
50.185807799 0 4.67841487E-023 0
51.199628367 0 2.04860078E-024 0
52.233929468 0 6.65921224E-026 0
53.289124839 0 1.42852552E-027 0
54.365636569 0 1.51690488E-029 0
Esperanza
0.41554252
0.30771689
0.69838321
Initial price S0 20 d1 N(d1)
-0.08790164 0.46497743
volatility^2 0.02
d2 N(d2)
strike price 21 -0.18790164 0.42547688
volatility^2 0.02
strike price 21
Maturity 0.5
n= 10 Promedio Precio
0.67648551 0.65321807
0.412730942
put europeo 1.005287167
2.07156854
0
ejerciendo 1
2.435871591
Page 118
PutAmericano
CALL n= 2
u= 1.069717371
d= 0.92820642
r= 7%
T= 0.5
exp(r*T/2)= 1.017654022
p= 0.63208961
S0= 20
1-p= 0.36791039
precio 2.719567853
ejerciendo 2
precio
2.719567853
Page 119
PutAmericano
1.1
0.9
k= 18
G-call
22.88590508 4.885905082
21.39434742 p= 0.63208961
19.85837064 1.858370639
18.56412841 1-p= 0.36791039
17.23134318 0
3.706607181
1.154279105
3.394347423
0.564128409
valor preferente
3.706607181
1.154279105
Page 120