excel 求解二叉树模型
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35.36 13.81 14.64
50.00 2.66 2.66
39.69 9.90
10.31
31.50 18.08 18.50
56.12 0.00
44.55 5.45
35.36 14.64
28.07 21.93
European Option Payoff American Option Payoff
0.00 exp (- r × t)
Max [ (K – S), p × Option up + (1-p) × Option down] ×
0.00 exp (- r × t)]
62.99 0.00
0.00
70.70 0.00
Legend Asset Price
56.12
1.30 1.30
44.55 6.18 6.38
Put Option 50 50 10% 40% 0.42
d1 d2 N(d1)
Black-Scholes formula
0.290 0.032 0.614
N(d2) S*N(d1) X*N(d2)*exp(-r*t) Price of European Call option Price of European Put Option
Pricing of an Option
Valuation of Options using Binomial & Black Scholes Formula, To review the illustration, change the values in the red font
Type Spot Strike Risk-free Std. dev. Maturity (Year)
Sdown = S*d
56.12
2.11 2.16
44.55 6.66 6.96
wk.baidu.com50.00 3.67 3.77
39.69 9.86
10.36
0.25
70.70 0.00 0.00
0.333333
0.416667
79.35
89.07 0.00
[ p × Option up + (1-p) × Option down] ×
0.513 30.71 24.60 6.12 4.08
Time (Years)
0
Binomial Tree
Timestep 0.08
u
1.12
d
0.89
e(Rf*Time
)
1.01
p
0.51
q
0.49
0.083333
0.166667
62.99 0.64
0.64
Sup = S*u
50 4.32 4.49
50.00 2.66 2.66
39.69 9.90
10.31
31.50 18.08 18.50
56.12 0.00
44.55 5.45
35.36 14.64
28.07 21.93
European Option Payoff American Option Payoff
0.00 exp (- r × t)
Max [ (K – S), p × Option up + (1-p) × Option down] ×
0.00 exp (- r × t)]
62.99 0.00
0.00
70.70 0.00
Legend Asset Price
56.12
1.30 1.30
44.55 6.18 6.38
Put Option 50 50 10% 40% 0.42
d1 d2 N(d1)
Black-Scholes formula
0.290 0.032 0.614
N(d2) S*N(d1) X*N(d2)*exp(-r*t) Price of European Call option Price of European Put Option
Pricing of an Option
Valuation of Options using Binomial & Black Scholes Formula, To review the illustration, change the values in the red font
Type Spot Strike Risk-free Std. dev. Maturity (Year)
Sdown = S*d
56.12
2.11 2.16
44.55 6.66 6.96
wk.baidu.com50.00 3.67 3.77
39.69 9.86
10.36
0.25
70.70 0.00 0.00
0.333333
0.416667
79.35
89.07 0.00
[ p × Option up + (1-p) × Option down] ×
0.513 30.71 24.60 6.12 4.08
Time (Years)
0
Binomial Tree
Timestep 0.08
u
1.12
d
0.89
e(Rf*Time
)
1.01
p
0.51
q
0.49
0.083333
0.166667
62.99 0.64
0.64
Sup = S*u
50 4.32 4.49