I have created an Excel spreadsheet specifically designed to assist you in solving any question related to Derivative Securities. This spreadsheet is user-friendly and can be easily customized to meet your specific requirements. Its simplicity ensures that you can navigate and utilize it effectivel...
Binomial Tree
Rate 8.00%
Time 0.5
Strike Price 100
Upward 10% 1.10
Downward 10% 0.9
period 2.00 Stock Price 100
Month 6
erΔt 1.04081077419239 1
e-rΔt 0.960789439152323
q- risk neutral Probability 0.704053870961941
1-q risk neutral Probability 0.295946129038059 1 Cu->
C0 13.7194
Cd->
Put- Call Parity 11.31 7.69
Annualised Volatility σ = ln(u) / sqrt(∆t) 8.09%
σ is the annualized volatility
dt is the time step in years 9 0.75
u is the up factor 8.43% 0.9323 Given U
d is the down factor 6.77% Given D 1.072616
Value of Put option p0 = c0 − S0 + Ke−r×∆t 1 period 35.547233
p0 = c0 − S0 + Ke−r×2∆t 2 period 35.547233
C0- call option price 2.2
Strike price 120
Stock price 85.34
Time Period 12
Risk free rate 1.10%
Break Even
Call-Nc 2
Put-Np 1
StrikeC 45
StrikeP 45
C premium 1.1
P premium 1.48 Break Even
Portfolio Cost 3.68 Lower
Equal Strike, NC=NP 41.32
Unequal Strike, NC=NP 41.32
, Gain or Loss
No of shares 1
Strike 50
Current Spot 58 Short Call 25
Future Spot 25 Long Call -25
Call Option Pre 0 Short Put
Put Option Pre Long Put
Margin call 0.555555555555556
Initial margin 5100
Maintenance Margin 2100
contract size 5400
No of contracts 2
Total Margin 10200
Future Price 1014
Margin call of future price 1013.44444444444
Minimum Margin 4200
Total Worth 10951200
Margin Call- Price change
F2 is the futures price at which
a margin call will be triggered 1015
F1 is the current futures price 1010
Mi is the initial margin 2000
Mm is the maintenance margin 1500
N - No of Units 100
Margin Call- Balance of Margin
F2 is the futures price at which
a margin call will be triggered 1012
F1 is the current futures price 1010
Mi is the initial margin 2000
Mm is the maintenance margin 1500
N - No of Units 100
Gain or Loss -2
Margin account balance 1800
The benefits of buying summaries with Stuvia:
Guaranteed quality through customer reviews
Stuvia customers have reviewed more than 700,000 summaries. This how you know that you are buying the best documents.
Quick and easy check-out
You can quickly pay through credit card or Stuvia-credit for the summaries. There is no membership needed.
Focus on what matters
Your fellow students write the study notes themselves, which is why the documents are always reliable and up-to-date. This ensures you quickly get to the core!
Frequently asked questions
What do I get when I buy this document?
You get a PDF, available immediately after your purchase. The purchased document is accessible anytime, anywhere and indefinitely through your profile.
Satisfaction guarantee: how does it work?
Our satisfaction guarantee ensures that you always find a study document that suits you well. You fill out a form, and our customer service team takes care of the rest.
Who am I buying these notes from?
Stuvia is a marketplace, so you are not buying this document from us, but from seller linolawrence. Stuvia facilitates payment to the seller.
Will I be stuck with a subscription?
No, you only buy these notes for $13.69. You're not tied to anything after your purchase.
