Ejemplo Opción De Compra

Páginas: 2 (372 palabras) Publicado: 31 de julio de 2012
Option Valuation Audit Sheet
Assumptions
PV Asset Value ($) Implementation Cost ($) Maturity (Years) Risk-free Rate (%) Dividends (%) Volatility (%) Lattice Steps Option Type Terminal EquationIntermediate Equation Intermediate Equation (Blackouts) Custom Variables Name Expansion Value 6.48 Starting Step 0

Intermediate Computations $19,524.00 $9,200.00 50.00 12.00% 0.00% 9.60% 50Modificar Max(Asset, Asset*Expansion-Cost) Max(Asset*Expansion-Cost,OptionOpen)
Stepping Time (dt) Up Step Size (up) Down Step Size (down) Risk-neutral Probability Results Auditing Lattice Result (10steps) Super Lattice Results

1.0000 1.1008 0.9085 1.1390

126492.72 126492.72

Underlying Asset Lattice

50990.76 46323.27 42083.03 38230.91 34731.41 31552.24 28664.07 26040.28 23656.6623656.66 21491.22 19524.00 19524.00 17736.85 16113.29 14638.35 13298.41 12081.13 10975.27 9970.64 9057.96 8228.84 7475.60 16113.29 14638.35 13298.41 12081.13 10975.27 9970.64 9057.96 17736.85 16113.2914638.35 13298.41 12081.13 10975.27 21491.22 19524.00 17736.85 16113.29 14638.35 13298.41 26040.28 23656.66 21491.22 19524.00 17736.85 16113.29 28664.07 26040.28 23656.66 21491.22 19524.00 31552.2428664.07 26040.28 23656.66 34731.41 31552.24 28664.07 38230.91 34731.41 42083.03

21491.22 19524.00 17736.85

Option Valuation Lattice

330344.42 300107.65 272638.45 247683.50 225012.69 204416.94185706.33 168708.31 153266.14 153258.27 139230.42 126486.53 126478.67 114902.11 104385.14 94823.79 86136.84 78244.15 71072.89 64556.90 58636.05 53255.70 48366.18 104377.27 94814.93 86126.85 78232.8871060.19 64542.58 58619.90 114893.24 104367.28 94803.65 86114.14 78218.55 71044.03 139221.55 126468.67 114881.97 104354.57 94789.33 86097.98 168699.45 153248.28 139210.28 126455.96 114867.65104338.41 185696.33 168688.18 153235.57 139195.95 126439.81 204405.67 185683.63 168673.85 153219.41 224999.98 204391.34 185667.47 247669.18 224983.83 272622.30

139237.39 126492.72 114909.09

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