binomial option pricing full scale real data

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Page 1: Binomial Option Pricing   Full Scale Real Data

Full-Scale Real DataCall Continuous

Inputs OutputsOption Type: 1=Call, 0=Put 1 Time / Period 0.007Stock Price Now $102.50 Riskfree Rate / Period 0.04%Standard Dev (Annual) 86.07% Up Movement / Period 7.53%Riskfree Rate (Annual) 5.47% Down Movement / Period -7.00%Exercise Price $100.00 Risk Neutral Probability 48.45%Time To Maturity (Years) 0.3556Number of Periods 50

0

NowPeriod 0 1 2 3 4 5 6

Time 0.000 0.007 0.014 0.021 0.028 0.036 0.043

Stock $102.50 $110.22 $118.51 $127.44 $137.03 $147.35 $158.44 $95.32 $102.50 $110.22 $118.51 $127.44 $137.03

$88.65 $95.32 $102.50 $110.22 $118.51 $82.44 $88.65 $95.32 $102.50

$76.67 $82.44 $88.65 $71.30 $76.67

$66.31

BINOMIAL OPTION PRICING

Annualization Convention: 1=Discrete, 0=Continuous

Page 2: Binomial Option Pricing   Full Scale Real Data

Call $22.61 $27.48 $33.15 $39.68 $47.15 $55.61 $65.11 $18.04 $22.17 $27.04 $32.70 $39.23 $46.71

$14.17 $17.62 $21.73 $26.58 $32.24 $10.94 $13.77 $17.19 $21.28

$8.28 $10.57 $13.37 $6.14 $7.94

$4.45

Page 3: Binomial Option Pricing   Full Scale Real Data
Page 4: Binomial Option Pricing   Full Scale Real Data

7 8 9 10 11 12 13 14 15 160.050 0.057 0.064 0.071 0.078 0.085 0.092 0.100 0.107 0.114

$170.37 $183.19 $196.99 $211.82 $227.76 $244.91 $263.35 $283.17 $304.49 $327.41 $147.35 $158.44 $170.37 $183.19 $196.99 $211.82 $227.76 $244.91 $263.35 $283.17 $127.44 $137.03 $147.35 $158.44 $170.37 $183.19 $196.99 $211.82 $227.76 $244.91 $110.22 $118.51 $127.44 $137.03 $147.35 $158.44 $170.37 $183.19 $196.99 $211.82

$95.32 $102.50 $110.22 $118.51 $127.44 $137.03 $147.35 $158.44 $170.37 $183.19 $82.44 $88.65 $95.32 $102.50 $110.22 $118.51 $127.44 $137.03 $147.35 $158.44 $71.30 $76.67 $82.44 $88.65 $95.32 $102.50 $110.22 $118.51 $127.44 $137.03 $61.67 $66.31 $71.30 $76.67 $82.44 $88.65 $95.32 $102.50 $110.22 $118.51

$57.35 $61.67 $66.31 $71.30 $76.67 $82.44 $88.65 $95.32 $102.50 $53.34 $57.35 $61.67 $66.31 $71.30 $76.67 $82.44 $88.65

$49.60 $53.34 $57.35 $61.67 $66.31 $71.30 $76.67 $46.13 $49.60 $53.34 $57.35 $61.67 $66.31

$42.90 $46.13 $49.60 $53.34 $57.35 $39.90 $42.90 $46.13 $49.60

$37.10 $39.90 $42.90 $34.50 $37.10

$32.09

Page 5: Binomial Option Pricing   Full Scale Real Data

$75.72 $87.48 $100.42 $114.61 $130.07 $146.87 $165.07 $184.72 $205.93 $228.77 $55.19 $64.73 $75.37 $87.17 $100.15 $114.38 $129.88 $146.71 $164.93 $184.61 $38.78 $46.27 $54.77 $64.34 $75.02 $86.86 $99.89 $114.16 $129.70 $146.56 $26.11 $31.76 $38.31 $45.82 $54.35 $63.95 $74.68 $86.56 $99.63 $113.94 $16.76 $20.82 $25.63 $31.28 $37.83 $45.36 $53.92 $63.56 $74.33 $86.26 $10.19 $12.95 $16.31 $20.34 $25.14 $30.79 $37.35 $44.90 $53.49 $63.17

$5.84 $7.60 $9.80 $12.52 $15.85 $19.86 $24.64 $30.28 $36.86 $44.43 $3.14 $4.19 $5.54 $7.25 $9.41 $12.09 $15.38 $19.36 $24.13 $29.77

$2.15 $2.92 $3.93 $5.23 $6.90 $9.01 $11.64 $14.89 $18.85 $1.43 $1.98 $2.71 $3.67 $4.92 $6.54 $8.60 $11.18

$0.92 $1.30 $1.81 $2.49 $3.41 $4.61 $6.17 $0.57 $0.82 $1.16 $1.63 $2.28 $3.14

$0.34 $0.49 $0.72 $1.03 $1.47 $0.19 $0.29 $0.42 $0.62

$0.10 $0.16 $0.24 $0.05 $0.08

$0.02

Page 6: Binomial Option Pricing   Full Scale Real Data
Page 7: Binomial Option Pricing   Full Scale Real Data

17 18 19 20 21 22 23 24 25 260.121 0.128 0.135 0.142 0.149 0.156 0.164 0.171 0.178 0.185

$352.06 $378.57 $407.07 $437.71 $470.67 $506.10 $544.20 $585.17 $629.23 $676.60 $304.49 $327.41 $352.06 $378.57 $407.07 $437.71 $470.67 $506.10 $544.20 $585.17 $263.35 $283.17 $304.49 $327.41 $352.06 $378.57 $407.07 $437.71 $470.67 $506.10 $227.76 $244.91 $263.35 $283.17 $304.49 $327.41 $352.06 $378.57 $407.07 $437.71 $196.99 $211.82 $227.76 $244.91 $263.35 $283.17 $304.49 $327.41 $352.06 $378.57 $170.37 $183.19 $196.99 $211.82 $227.76 $244.91 $263.35 $283.17 $304.49 $327.41 $147.35 $158.44 $170.37 $183.19 $196.99 $211.82 $227.76 $244.91 $263.35 $283.17 $127.44 $137.03 $147.35 $158.44 $170.37 $183.19 $196.99 $211.82 $227.76 $244.91 $110.22 $118.51 $127.44 $137.03 $147.35 $158.44 $170.37 $183.19 $196.99 $211.82

$95.32 $102.50 $110.22 $118.51 $127.44 $137.03 $147.35 $158.44 $170.37 $183.19 $82.44 $88.65 $95.32 $102.50 $110.22 $118.51 $127.44 $137.03 $147.35 $158.44 $71.30 $76.67 $82.44 $88.65 $95.32 $102.50 $110.22 $118.51 $127.44 $137.03 $61.67 $66.31 $71.30 $76.67 $82.44 $88.65 $95.32 $102.50 $110.22 $118.51 $53.34 $57.35 $61.67 $66.31 $71.30 $76.67 $82.44 $88.65 $95.32 $102.50 $46.13 $49.60 $53.34 $57.35 $61.67 $66.31 $71.30 $76.67 $82.44 $88.65 $39.90 $42.90 $46.13 $49.60 $53.34 $57.35 $61.67 $66.31 $71.30 $76.67 $34.50 $37.10 $39.90 $42.90 $46.13 $49.60 $53.34 $57.35 $61.67 $66.31 $29.84 $32.09 $34.50 $37.10 $39.90 $42.90 $46.13 $49.60 $53.34 $57.35

$27.75 $29.84 $32.09 $34.50 $37.10 $39.90 $42.90 $46.13 $49.60 $25.81 $27.75 $29.84 $32.09 $34.50 $37.10 $39.90 $42.90

$24.00 $25.81 $27.75 $29.84 $32.09 $34.50 $37.10 $22.32 $24.00 $25.81 $27.75 $29.84 $32.09

$20.76 $22.32 $24.00 $25.81 $27.75 $19.31 $20.76 $22.32 $24.00

$17.95 $19.31 $20.76 $16.70 $17.95

$15.53

Page 8: Binomial Option Pricing   Full Scale Real Data

$253.36 $279.81 $308.27 $338.87 $371.79 $407.18 $445.25 $486.18 $530.19 $577.53 $205.83 $228.68 $253.27 $279.73 $308.19 $338.80 $371.71 $407.11 $445.17 $486.10 $164.81 $184.50 $205.73 $228.59 $253.19 $279.65 $308.11 $338.72 $371.63 $407.03 $129.52 $146.41 $164.68 $184.40 $205.64 $228.51 $253.11 $279.58 $308.04 $338.64

$99.38 $113.74 $129.35 $146.28 $164.57 $184.30 $205.55 $228.43 $253.03 $279.50 $73.99 $85.97 $99.14 $113.54 $129.19 $146.15 $164.46 $184.21 $205.47 $228.35 $53.05 $62.78 $73.65 $85.68 $98.91 $113.35 $129.04 $146.03 $164.36 $184.12 $36.35 $43.95 $52.62 $62.40 $73.32 $85.41 $98.69 $113.17 $128.90 $145.91 $23.60 $29.23 $35.83 $43.46 $52.18 $62.01 $72.99 $85.14 $98.47 $113.01 $14.39 $18.32 $23.05 $28.69 $35.31 $42.97 $51.73 $61.63 $72.67 $84.89

$8.18 $10.71 $13.88 $17.77 $22.49 $28.13 $34.77 $42.47 $51.29 $61.25 $4.29 $5.80 $7.75 $10.23 $13.35 $17.21 $21.91 $27.55 $34.22 $41.96 $2.07 $2.88 $3.97 $5.42 $7.31 $9.73 $12.80 $16.62 $21.31 $26.96 $0.90 $1.30 $1.86 $2.62 $3.65 $5.03 $6.85 $9.22 $12.23 $16.02 $0.36 $0.53 $0.78 $1.14 $1.65 $2.35 $3.32 $4.64 $6.39 $8.68 $0.13 $0.19 $0.29 $0.44 $0.67 $0.99 $1.44 $2.09 $3.00 $4.23 $0.04 $0.06 $0.10 $0.15 $0.24 $0.37 $0.56 $0.84 $1.25 $1.83 $0.01 $0.02 $0.03 $0.05 $0.07 $0.12 $0.19 $0.29 $0.45 $0.69

$0.00 $0.01 $0.01 $0.02 $0.03 $0.05 $0.09 $0.14 $0.23 $0.00 $0.00 $0.00 $0.01 $0.01 $0.02 $0.04 $0.06

$0.00 $0.00 $0.00 $0.00 $0.00 $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

Page 9: Binomial Option Pricing   Full Scale Real Data
Page 10: Binomial Option Pricing   Full Scale Real Data

27 28 29 30 31 32 33 34 35 360.192 0.199 0.206 0.213 0.220 0.228 0.235 0.242 0.249 0.256

$727.53 $782.31 $841.20 $904.53 $972.63 ### ### ### ### ###$629.23 $676.60 $727.53 $782.31 $841.20 $904.53 $972.63 ### ### ###$544.20 $585.17 $629.23 $676.60 $727.53 $782.31 $841.20 $904.53 $972.63 ###$470.67 $506.10 $544.20 $585.17 $629.23 $676.60 $727.53 $782.31 $841.20 $904.53 $407.07 $437.71 $470.67 $506.10 $544.20 $585.17 $629.23 $676.60 $727.53 $782.31 $352.06 $378.57 $407.07 $437.71 $470.67 $506.10 $544.20 $585.17 $629.23 $676.60 $304.49 $327.41 $352.06 $378.57 $407.07 $437.71 $470.67 $506.10 $544.20 $585.17 $263.35 $283.17 $304.49 $327.41 $352.06 $378.57 $407.07 $437.71 $470.67 $506.10 $227.76 $244.91 $263.35 $283.17 $304.49 $327.41 $352.06 $378.57 $407.07 $437.71 $196.99 $211.82 $227.76 $244.91 $263.35 $283.17 $304.49 $327.41 $352.06 $378.57 $170.37 $183.19 $196.99 $211.82 $227.76 $244.91 $263.35 $283.17 $304.49 $327.41 $147.35 $158.44 $170.37 $183.19 $196.99 $211.82 $227.76 $244.91 $263.35 $283.17 $127.44 $137.03 $147.35 $158.44 $170.37 $183.19 $196.99 $211.82 $227.76 $244.91 $110.22 $118.51 $127.44 $137.03 $147.35 $158.44 $170.37 $183.19 $196.99 $211.82

$95.32 $102.50 $110.22 $118.51 $127.44 $137.03 $147.35 $158.44 $170.37 $183.19 $82.44 $88.65 $95.32 $102.50 $110.22 $118.51 $127.44 $137.03 $147.35 $158.44 $71.30 $76.67 $82.44 $88.65 $95.32 $102.50 $110.22 $118.51 $127.44 $137.03 $61.67 $66.31 $71.30 $76.67 $82.44 $88.65 $95.32 $102.50 $110.22 $118.51 $53.34 $57.35 $61.67 $66.31 $71.30 $76.67 $82.44 $88.65 $95.32 $102.50 $46.13 $49.60 $53.34 $57.35 $61.67 $66.31 $71.30 $76.67 $82.44 $88.65 $39.90 $42.90 $46.13 $49.60 $53.34 $57.35 $61.67 $66.31 $71.30 $76.67 $34.50 $37.10 $39.90 $42.90 $46.13 $49.60 $53.34 $57.35 $61.67 $66.31 $29.84 $32.09 $34.50 $37.10 $39.90 $42.90 $46.13 $49.60 $53.34 $57.35 $25.81 $27.75 $29.84 $32.09 $34.50 $37.10 $39.90 $42.90 $46.13 $49.60 $22.32 $24.00 $25.81 $27.75 $29.84 $32.09 $34.50 $37.10 $39.90 $42.90 $19.31 $20.76 $22.32 $24.00 $25.81 $27.75 $29.84 $32.09 $34.50 $37.10 $16.70 $17.95 $19.31 $20.76 $22.32 $24.00 $25.81 $27.75 $29.84 $32.09 $14.44 $15.53 $16.70 $17.95 $19.31 $20.76 $22.32 $24.00 $25.81 $27.75

$13.43 $14.44 $15.53 $16.70 $17.95 $19.31 $20.76 $22.32 $24.00 $12.49 $13.43 $14.44 $15.53 $16.70 $17.95 $19.31 $20.76

$11.62 $12.49 $13.43 $14.44 $15.53 $16.70 $17.95 $10.80 $11.62 $12.49 $13.43 $14.44 $15.53

Page 11: Binomial Option Pricing   Full Scale Real Data

$10.05 $10.80 $11.62 $12.49 $13.43 $9.34 $10.05 $10.80 $11.62

$8.69 $9.34 $10.05 $8.08 $8.69

$7.51

$628.43 $683.16 $742.02 $805.31 $873.36 $946.55 ### ### ### ###$530.12 $577.45 $628.35 $683.08 $741.94 $805.23 $873.29 $946.47 ### ###$445.09 $486.02 $530.04 $577.37 $628.27 $683.00 $741.86 $805.15 $873.21 $946.40 $371.56 $406.95 $445.02 $485.95 $529.96 $577.30 $628.19 $682.93 $741.78 $805.07 $307.96 $338.57 $371.48 $406.88 $444.94 $485.87 $529.89 $577.22 $628.12 $682.85 $252.95 $279.42 $307.88 $338.49 $371.40 $406.80 $444.86 $485.79 $529.81 $577.14 $205.39 $228.27 $252.88 $279.34 $307.80 $338.41 $371.33 $406.72 $444.78 $485.72 $164.27 $184.03 $205.31 $228.19 $252.80 $279.27 $307.73 $338.33 $371.25 $406.64 $128.77 $145.81 $164.18 $183.95 $205.23 $228.11 $252.72 $279.19 $307.65 $338.26

$98.27 $112.85 $128.65 $145.71 $164.09 $183.87 $205.15 $228.03 $252.64 $279.11 $72.36 $84.64 $98.09 $112.71 $128.54 $145.62 $164.01 $183.79 $205.07 $227.96 $50.84 $60.88 $72.07 $84.42 $97.92 $112.59 $128.44 $145.53 $163.93 $183.72 $33.65 $41.45 $50.40 $60.51 $71.79 $84.21 $97.77 $112.47 $128.35 $145.45 $20.69 $26.34 $33.07 $40.93 $49.96 $60.16 $71.52 $84.02 $97.63 $112.37 $11.64 $15.39 $20.04 $25.70 $32.48 $40.41 $49.53 $59.83 $71.28 $83.85

$5.91 $8.13 $11.02 $14.72 $19.36 $25.04 $31.87 $39.89 $49.11 $59.52 $2.67 $3.83 $5.41 $7.55 $10.38 $14.03 $18.65 $24.35 $31.24 $39.36 $1.05 $1.58 $2.33 $3.41 $4.91 $6.95 $9.70 $13.30 $17.90 $23.64 $0.36 $0.56 $0.87 $1.33 $2.00 $2.98 $4.38 $6.33 $8.98 $12.52 $0.10 $0.17 $0.27 $0.44 $0.69 $1.08 $1.67 $2.55 $3.83 $5.66 $0.02 $0.04 $0.07 $0.12 $0.20 $0.32 $0.53 $0.85 $1.35 $2.12 $0.00 $0.01 $0.01 $0.03 $0.04 $0.08 $0.13 $0.22 $0.38 $0.63 $0.00 $0.00 $0.00 $0.00 $0.01 $0.01 $0.02 $0.04 $0.08 $0.14 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.01 $0.01 $0.02 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

Page 12: Binomial Option Pricing   Full Scale Real Data

$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

$0.00 $0.00 $0.00

Page 13: Binomial Option Pricing   Full Scale Real Data

37 38 39 40 41 42 43 44 450.263 0.270 0.277 0.284 0.292 0.299 0.306 0.313 0.320

### ### ### ### ### $2,161.24 $2,323.95 $2,498.91 $2,687.04 ### ### ### ### ### $1,869.20 $2,009.93 $2,161.24 $2,323.95 ### ### ### ### ### $1,616.63 $1,738.33 $1,869.20 $2,009.93

$972.63 ### ### ### ### $1,398.18 $1,503.44 $1,616.63 $1,738.33 $841.20 $904.53 $972.63 ### ### $1,209.25 $1,300.29 $1,398.18 $1,503.44 $727.53 $782.31 $841.20 $904.53 $972.63 $1,045.85 $1,124.59 $1,209.25 $1,300.29 $629.23 $676.60 $727.53 $782.31 $841.20 $904.53 $972.63 $1,045.85 $1,124.59 $544.20 $585.17 $629.23 $676.60 $727.53 $782.31 $841.20 $904.53 $972.63 $470.67 $506.10 $544.20 $585.17 $629.23 $676.60 $727.53 $782.31 $841.20 $407.07 $437.71 $470.67 $506.10 $544.20 $585.17 $629.23 $676.60 $727.53 $352.06 $378.57 $407.07 $437.71 $470.67 $506.10 $544.20 $585.17 $629.23 $304.49 $327.41 $352.06 $378.57 $407.07 $437.71 $470.67 $506.10 $544.20 $263.35 $283.17 $304.49 $327.41 $352.06 $378.57 $407.07 $437.71 $470.67 $227.76 $244.91 $263.35 $283.17 $304.49 $327.41 $352.06 $378.57 $407.07 $196.99 $211.82 $227.76 $244.91 $263.35 $283.17 $304.49 $327.41 $352.06 $170.37 $183.19 $196.99 $211.82 $227.76 $244.91 $263.35 $283.17 $304.49 $147.35 $158.44 $170.37 $183.19 $196.99 $211.82 $227.76 $244.91 $263.35 $127.44 $137.03 $147.35 $158.44 $170.37 $183.19 $196.99 $211.82 $227.76 $110.22 $118.51 $127.44 $137.03 $147.35 $158.44 $170.37 $183.19 $196.99

$95.32 $102.50 $110.22 $118.51 $127.44 $137.03 $147.35 $158.44 $170.37 $82.44 $88.65 $95.32 $102.50 $110.22 $118.51 $127.44 $137.03 $147.35 $71.30 $76.67 $82.44 $88.65 $95.32 $102.50 $110.22 $118.51 $127.44 $61.67 $66.31 $71.30 $76.67 $82.44 $88.65 $95.32 $102.50 $110.22 $53.34 $57.35 $61.67 $66.31 $71.30 $76.67 $82.44 $88.65 $95.32 $46.13 $49.60 $53.34 $57.35 $61.67 $66.31 $71.30 $76.67 $82.44 $39.90 $42.90 $46.13 $49.60 $53.34 $57.35 $61.67 $66.31 $71.30 $34.50 $37.10 $39.90 $42.90 $46.13 $49.60 $53.34 $57.35 $61.67 $29.84 $32.09 $34.50 $37.10 $39.90 $42.90 $46.13 $49.60 $53.34 $25.81 $27.75 $29.84 $32.09 $34.50 $37.10 $39.90 $42.90 $46.13 $22.32 $24.00 $25.81 $27.75 $29.84 $32.09 $34.50 $37.10 $39.90 $19.31 $20.76 $22.32 $24.00 $25.81 $27.75 $29.84 $32.09 $34.50 $16.70 $17.95 $19.31 $20.76 $22.32 $24.00 $25.81 $27.75 $29.84

Page 14: Binomial Option Pricing   Full Scale Real Data

$14.44 $15.53 $16.70 $17.95 $19.31 $20.76 $22.32 $24.00 $25.81 $12.49 $13.43 $14.44 $15.53 $16.70 $17.95 $19.31 $20.76 $22.32 $10.80 $11.62 $12.49 $13.43 $14.44 $15.53 $16.70 $17.95 $19.31

$9.34 $10.05 $10.80 $11.62 $12.49 $13.43 $14.44 $15.53 $16.70 $8.08 $8.69 $9.34 $10.05 $10.80 $11.62 $12.49 $13.43 $14.44 $6.99 $7.51 $8.08 $8.69 $9.34 $10.05 $10.80 $11.62 $12.49

$6.50 $6.99 $7.51 $8.08 $8.69 $9.34 $10.05 $10.80 $6.04 $6.50 $6.99 $7.51 $8.08 $8.69 $9.34

$5.62 $6.04 $6.50 $6.99 $7.51 $8.08 $5.23 $5.62 $6.04 $6.50 $6.99

$4.86 $5.23 $5.62 $6.04 $4.52 $4.86 $5.23

$4.20 $4.52 $3.91

### ### ### ### ### $2,061.55 $2,224.22 $2,399.14 $2,587.23 ### ### ### ### ### $1,769.52 $1,910.20 $2,061.48 $2,224.14 ### ### ### ### ### $1,516.94 $1,638.61 $1,769.44 $1,910.12

$873.13 $946.32 ### ### ### $1,298.49 $1,403.71 $1,516.86 $1,638.53 $741.71 $805.00 $873.06 $946.24 ### $1,109.56 $1,200.56 $1,298.41 $1,403.64 $628.04 $682.77 $741.63 $804.92 $872.98 $946.16 $1,024.86 $1,109.49 $1,200.48 $529.73 $577.06 $627.96 $682.69 $741.55 $804.84 $872.90 $946.09 $1,024.78 $444.71 $485.64 $529.65 $576.99 $627.88 $682.62 $741.47 $804.76 $872.82 $371.17 $406.57 $444.63 $485.56 $529.58 $576.91 $627.81 $682.54 $741.40 $307.57 $338.18 $371.09 $406.49 $444.55 $485.48 $529.50 $576.83 $627.73 $252.57 $279.03 $307.50 $338.10 $371.02 $406.41 $444.47 $485.41 $529.42 $204.99 $227.88 $252.49 $278.96 $307.42 $338.02 $370.94 $406.33 $444.40 $163.85 $183.64 $204.92 $227.80 $252.41 $278.88 $307.34 $337.95 $370.86 $128.27 $145.37 $163.77 $183.56 $204.84 $227.72 $252.33 $278.80 $307.26

$97.52 $112.28 $128.19 $145.30 $163.70 $183.48 $204.76 $227.65 $252.26 $71.07 $83.71 $97.42 $112.20 $128.11 $145.22 $163.62 $183.41 $204.68 $48.71 $59.24 $70.89 $83.60 $97.33 $112.13 $128.03 $145.14 $163.54 $30.61 $38.85 $48.34 $59.00 $70.75 $83.50 $97.26 $112.05 $127.96 $17.10 $22.88 $29.96 $38.35 $48.00 $58.81 $70.64 $83.43 $97.18

$8.22 $11.68 $16.25 $22.09 $29.30 $37.88 $47.73 $58.67 $70.56 $3.27 $4.96 $7.39 $10.77 $15.33 $21.26 $28.65 $37.48 $47.54 $1.04 $1.68 $2.69 $4.22 $6.49 $9.77 $14.32 $20.38 $28.04 $0.25 $0.43 $0.74 $1.25 $2.08 $3.42 $5.50 $8.64 $13.20 $0.04 $0.08 $0.14 $0.26 $0.46 $0.83 $1.47 $2.55 $4.37 $0.00 $0.01 $0.02 $0.03 $0.06 $0.12 $0.23 $0.45 $0.85 $0.00 $0.00 $0.00 $0.00 $0.00 $0.01 $0.02 $0.03 $0.07 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

Page 15: Binomial Option Pricing   Full Scale Real Data

$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

$0.00 $0.00 $0.00

Page 16: Binomial Option Pricing   Full Scale Real Data

Maturity46 47 48 49 50

0.327 0.334 0.341 0.348 0.356

$2,889.33 $3,106.85 $3,340.75 $3,592.25 $3,862.69 $2,498.91 $2,687.04 $2,889.33 $3,106.85 $3,340.75 $2,161.24 $2,323.95 $2,498.91 $2,687.04 $2,889.33 $1,869.20 $2,009.93 $2,161.24 $2,323.95 $2,498.91 $1,616.63 $1,738.33 $1,869.20 $2,009.93 $2,161.24 $1,398.18 $1,503.44 $1,616.63 $1,738.33 $1,869.20 $1,209.25 $1,300.29 $1,398.18 $1,503.44 $1,616.63 $1,045.85 $1,124.59 $1,209.25 $1,300.29 $1,398.18

$904.53 $972.63 $1,045.85 $1,124.59 $1,209.25 $782.31 $841.20 $904.53 $972.63 $1,045.85 $676.60 $727.53 $782.31 $841.20 $904.53 $585.17 $629.23 $676.60 $727.53 $782.31 $506.10 $544.20 $585.17 $629.23 $676.60 $437.71 $470.67 $506.10 $544.20 $585.17 $378.57 $407.07 $437.71 $470.67 $506.10 $327.41 $352.06 $378.57 $407.07 $437.71 $283.17 $304.49 $327.41 $352.06 $378.57 $244.91 $263.35 $283.17 $304.49 $327.41 $211.82 $227.76 $244.91 $263.35 $283.17 $183.19 $196.99 $211.82 $227.76 $244.91 $158.44 $170.37 $183.19 $196.99 $211.82 $137.03 $147.35 $158.44 $170.37 $183.19 $118.51 $127.44 $137.03 $147.35 $158.44 $102.50 $110.22 $118.51 $127.44 $137.03

$88.65 $95.32 $102.50 $110.22 $118.51 $76.67 $82.44 $88.65 $95.32 $102.50 $66.31 $71.30 $76.67 $82.44 $88.65 $57.35 $61.67 $66.31 $71.30 $76.67 $49.60 $53.34 $57.35 $61.67 $66.31 $42.90 $46.13 $49.60 $53.34 $57.35 $37.10 $39.90 $42.90 $46.13 $49.60 $32.09 $34.50 $37.10 $39.90 $42.90

Page 17: Binomial Option Pricing   Full Scale Real Data

$27.75 $29.84 $32.09 $34.50 $37.10 $24.00 $25.81 $27.75 $29.84 $32.09 $20.76 $22.32 $24.00 $25.81 $27.75 $17.95 $19.31 $20.76 $22.32 $24.00 $15.53 $16.70 $17.95 $19.31 $20.76 $13.43 $14.44 $15.53 $16.70 $17.95 $11.62 $12.49 $13.43 $14.44 $15.53 $10.05 $10.80 $11.62 $12.49 $13.43

$8.69 $9.34 $10.05 $10.80 $11.62 $7.51 $8.08 $8.69 $9.34 $10.05 $6.50 $6.99 $7.51 $8.08 $8.69 $5.62 $6.04 $6.50 $6.99 $7.51 $4.86 $5.23 $5.62 $6.04 $6.50 $4.20 $4.52 $4.86 $5.23 $5.62 $3.64 $3.91 $4.20 $4.52 $4.86

$3.38 $3.64 $3.91 $4.20 $3.14 $3.38 $3.64

$2.92 $3.14 $2.72

$2,789.48 $3,006.96 $3,240.82 $3,492.29 $3,762.69 $2,399.06 $2,587.15 $2,789.40 $3,006.89 $3,240.75 $2,061.40 $2,224.07 $2,398.98 $2,587.07 $2,789.33 $1,769.36 $1,910.04 $2,061.32 $2,223.99 $2,398.91 $1,516.78 $1,638.45 $1,769.28 $1,909.97 $2,061.24 $1,298.34 $1,403.56 $1,516.71 $1,638.37 $1,769.20 $1,109.41 $1,200.41 $1,298.26 $1,403.48 $1,516.63

$946.01 $1,024.70 $1,109.33 $1,200.33 $1,298.18 $804.69 $872.74 $945.93 $1,024.63 $1,109.25 $682.46 $741.32 $804.61 $872.67 $945.85 $576.75 $627.65 $682.38 $741.24 $804.53 $485.33 $529.34 $576.68 $627.57 $682.31 $406.26 $444.32 $485.25 $529.27 $576.60 $337.87 $370.78 $406.18 $444.24 $485.17 $278.72 $307.18 $337.79 $370.71 $406.10 $227.57 $252.18 $278.65 $307.11 $337.71 $183.33 $204.61 $227.49 $252.10 $278.57 $145.06 $163.46 $183.25 $204.53 $227.41 $111.97 $127.88 $144.99 $163.39 $183.17

$83.35 $97.10 $111.89 $127.80 $144.91 $58.60 $70.48 $83.27 $97.02 $111.82 $37.19 $47.46 $58.52 $70.41 $83.19 $19.47 $27.55 $37.11 $47.39 $58.44

$7.31 $11.89 $18.59 $27.48 $37.03 $1.60 $3.01 $5.59 $10.26 $18.51 $0.14 $0.28 $0.59 $1.21 $2.50 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

Page 18: Binomial Option Pricing   Full Scale Real Data

$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

$0.00 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00

$0.00 $0.00 $0.00