Posted by admin | Posted in trees,shrubs | Posted on 15-09-2009
Tags: binomial trees option pricing, binomial trees option pricing example, binomial trees option pricing model, binomial-model, option, pricing
Call Options?
Confused on how to get exercised pric and approach question.
What is price of an at-the-money options below?
4 period binomial tree, u=1.1 and d=0.9.
Risk Free Rate=5% & stock price today= $50
What would be the price of an at-the money European call option that matures after 4 periods? What would be the price of the call today if it had an American call option
? What would be the price for an European and American put option?
Don’t you need volitility to do this?
Binomial tree to price option Part 1
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Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance) $29.95 Developed for the professional Master’s program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance… |
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Advanced modelling in finance using Excel and VBA $27.99 This new and unique book demonstrates that Excel and VBA can play an important role in the explanation and implementation of numerical methods across finance. Advanced Modelling in Finance provides a comprehensive look at equities, options on equities and options on bonds from the early 1950s to the late 1990s.The book adopts a step-by-step approach to understanding the more sophisticated aspects … |
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Option Pricing Models and Volatility Using Excel-VBA (Wiley Finance) $54.34 Praise for Option Pricing Models & Volatility Using Excel-VBA”Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers.”–Peter Christoffersen, Associate… |