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Page 1: Binomial Option Pricing Single Period

Single Period Call

InputsOption Type: 1=Call, 0=Put 1Stock Price Now $100.00Up Movement / Period 30.00%Down Movement / Period -20.00%Riskfree Rate / Period 2.00%Exercise Price $90.00Time To Maturity (Years) 0.75Number of Periods 1

Now MaturityPeriod 0 1

Time 0.000 0.750

Stock $100.00 $130.00 $80.00

Call $17.25 $40.00 $0.00

Replicating Portfolio

0.800

($62.75)

BINOMIAL OPTION PRICING

Stock Shares Bought (Sold)

Money Lent (Borrowed)

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