Expiry of option 10 yr a

spot price 100 u

strike price 100 d
volatility 30% p
time step 1 yr discount factor df
riskfree rate 6%

Year 0 1

100 134.9858807576
54.94671 83.1234360073

74.0818220682
30.7267170665
1.061837
1.349859
0.740818
0.527089
0.941765 e^(-r*t)

2 3 4 5

182.2119 245.9603 332.0117 448.1689

123.8567 181.7221 262.5962 374.0871

100 134.9859 182.2119 245.9603

48.5927 75.55744 115.3444 172.6691

54.88116 74.08182 100 134.9859

14.83173 24.89269 41.09216 66.53456

40.65697 54.88116 74.08182

5.557538 10.0923 18.10815

30.11942 40.65697
1.229958 2.477788

22.31302
3.85E-015
 in same branch, the differ
value would b
f=Discount factor(p*Fu+(1
DF=e^(-rt)

6 7 8 9

604.9647 816.617 1102.318 1487.973

526.302 733.09 1013.626 1393.797

332.0117 448.1689 604.9647 816.617

253.3489 364.6419 516.2727 722.4405

182.2119 245.9603 332.0117 448.1689

105.3243 162.4333 243.3196 353.9925

100 134.9859 182.2119 245.9603

32.00092 55.44474 93.51984 151.7839

54.88116 74.08182 100 134.9859

4.991583 10.0557 20.25753 40.80943

30.11942 40.65697 54.88116 74.08182

7.77E-015 1.56E-014 3.15E-014 6.35E-014

16.52989 22.31302 30.11942 40.65697

0 0 0 0

12.24564 16.52989 22.31302

0 0 0

9.071795 12.24564
0 0

6.720551
0
n same branch, the difference between top and next
value would be d^2 and so on
=Discount factor(p*Fu+(1-p)*Fd)
F=e^(-rt)

10

2008.554
1908.554 final value of option is always equal to the pay off=St-S0

1102.318
1002.318

604.9647
504.9647

332.0117
232.0117

182.2119
82.21188

100
1.28E-13

54.88116
0

30.11942
0

16.52989
0

9.071795
0

4.978707
0
Expiry of option 10 yr a
spot price 100 u
strike price 100 d
volatility 30% p
time step 1 yr discount factor df
riskfree rate 6%

Year 0 1

100 134.9858807576
9.827877 6.4123804871

74.0818220682
14.9197202357
1.061837
1.349859
0.740818
0.527089
0.941765 e^(-r*t)

2 3 4 5

182.2119 245.9603 332.0117 448.1689

3.523179 1.466421 0.35212 0

100 134.9859 182.2119 245.9603

10.47104 6.276241 2.900123 0.790622

54.88116 74.08182 100 134.9859

21.82891 16.51555 10.85979 5.630503

40.65697 54.88116 74.08182

30.60525 24.97877 18.10815

30.11942 40.65697
40.87817 35.90264

22.31302
51.76881
 in same branch, the differ
value would b
f=Discount factor(p*Fu+(1
DF=e^(-rt)

6 7 8 9

604.9647 816.617 1102.318 1487.973

0 0 0 0

332.0117 448.1689 604.9647 816.617

0 0 0 0

182.2119 245.9603 332.0117 448.1689

1.775197 0 0 0

100 134.9859 182.2119 245.9603

10.6637 3.985881 0 0

54.88116 74.08182 100 134.9859

28.77321 19.5009 8.94957 0

30.11942 40.65697 54.88116 74.08182

48.54336 42.87006 33.81088 20.09463

16.52989 22.31302 30.11942 40.65697

62.1329 61.21401 58.57262 53.51949

12.24564 16.52989 22.31302

71.28138 72.16215 71.86344

9.071795 12.24564
79.62025 81.93081

6.720551
87.4559
n same branch, the difference between top and next
value would be d^2 and so on
=Discount factor(p*Fu+(1-p)*Fd)
F=e^(-rt)

10

2008.554
0 final value of option is always equal to the pay off=St-S0

1102.318
0

604.9647
0

332.0117
0

182.2119
0

100
0

54.88116
45.11884

30.11942
69.88058

16.52989
83.47011

9.071795
90.9282

4.978707
95.02129
Expiry of option 10 yr a
spot price 100 u
strike price 100 d
volatility 30% p
time step 1 yr discount factor df
riskfree rate 6%

Year 0 1

100 134.9858807576
54.94671 83.1234360073

74.0818220682
30.7267170665
1.061837
1.349859
0.740818
0.527089
0.941765 e^(-r*t)

2 3 4 5

182.2119 245.9603 332.0117 448.1689

123.8567 181.7221 262.5962 374.0871

100 134.9859 182.2119 245.9603

48.5927 75.55744 115.3444 172.6691

54.88116 74.08182 100 134.9859

14.83173 24.89269 41.09216 66.53456

40.65697 54.88116 74.08182

5.557538 10.0923 18.10815

30.11942 40.65697
1.229958 2.477788

22.31302
3.85E-015
 in same branch, the differ
value would b
f=Discount factor(p*Fu+(1
DF=e^(-rt)

6 7 8 9

604.9647 816.617 1102.318 1487.973

526.302 733.09 1013.626 1393.797

332.0117 448.1689 604.9647 816.617

253.3489 364.6419 516.2727 722.4405

182.2119 245.9603 332.0117 448.1689

105.3243 162.4333 243.3196 353.9925

100 134.9859 182.2119 245.9603

32.00092 55.44474 93.51984 151.7839

54.88116 74.08182 100 134.9859

4.991583 10.0557 20.25753 40.80943

30.11942 40.65697 54.88116 74.08182

7.77E-015 1.56E-014 3.15E-014 6.35E-014

16.52989 22.31302 30.11942 40.65697

0 0 0 0

12.24564 16.52989 22.31302

0 0 0

9.071795 12.24564
0 0

6.720551
0
n same branch, the difference between top and next
value would be d^2 and so on
=Discount factor(p*Fu+(1-p)*Fd)
F=e^(-rt)

10

2008.554
1908.554 final value of option is always equal to the pay off=St-S0

1102.318 Value at A
1002.318

604.9647
504.9647

332.0117
232.0117

182.2119
82.21188

100
1.28E-13

54.88116
0

30.11942
0

16.52989
0

9.071795
0

4.978707
0
ay off=St-S0
Expiry of option 10 yr a
spot price 100 u
strike price 100 d
volatility 30% p
time step 1 yr discount factor df
riskfree rate 6%

Year 0 1

100 134.9858807576
17.61212 9.9463924776

74.0818220682
28.458959224
1.061837
1.349859
0.740818
0.527089
0.941765 e^(-r*t)

2 3 4 5

182.2119 245.9603 332.0117 448.1689

4.919077 1.92153 0.454167 0

100 134.9859 182.2119 245.9603

16.8502 8.903231 3.808249 1.019748

54.88116 74.08182 100 134.9859

45.11884 27.91087 15.74606 7.414157

40.65697 54.88116 74.08182

59.34303 45.11884 27.09138

30.11942 40.65697
69.88058 59.34303

22.31302
77.68698
 in same branch, the differ
value would b
f=Discount factor(p*Fu+(1
DF=e^(-rt)

6 7 8 9

604.9647 816.617 1102.318 1487.973

0 0 0 0

332.0117 448.1689 604.9647 816.617

0 0 0 0

182.2119 245.9603 332.0117 448.1689

2.28966 0 0 0

100 134.9859 182.2119 245.9603

14.09518 5.141014 0 0

54.88116 74.08182 100 134.9859

45.11884 25.91818 11.54321 0

30.11942 40.65697 54.88116 74.08182

69.88058 59.34303 45.11884 25.91818

16.52989 22.31302 30.11942 40.65697

83.47011 77.68698 69.88058 59.34303

12.24564 16.52989 22.31302

87.75436 83.47011 77.68698

9.071795 12.24564
90.9282 87.75436

6.720551
93.27945
n same branch, the difference between top and next
value would be d^2 and so on
=Discount factor(p*Fu+(1-p)*Fd)
F=e^(-rt)

10

2008.554
0 final value of option is always equal to the pay off=St-S0

1102.318
0

604.9647
0

332.0117
0

182.2119
0

100
0

54.88116
45.11884

30.11942
69.88058

16.52989
83.47011

9.071795
90.9282

4.978707
95.02129