44.6146 11.6146 Stock price LS Strike price X Interest rate Dividend payout % delta Time to expiration I Number of periods n Volatility sigma 30 33 3.00% 0.00% 0.2500 7 30.00% 42.1555 9.1908 39.8320 39.8320 6.8320 37.6366 37.6366 4.6719 35.5621 35.5621 35.5621 2.5621 0.0357 1.0583 0.9449 1.0011 0.4953 33.6020 change in t u d - 1.p 33.6020 33.6020 1.2676 31.7500 31.7500 31.7500 31.7500 0.0000 0.5047 30.0000 30.0000 30.0000 30.0000 0.0000 28.3465 28.3465 28.3465 28.3465 0.0000 26.7841 26.7841 26.7841 0.0000 Call Price 25.3078 25.3078 25.3078 0.0000 23.9129 PUT-CALL PARITY Put Price Call Price 23.9129 0.0000 22.5949 22.5949 0.0000 21.3495 0.0000 20.1728 0.0000 S 30 33 0.03 Stock price Strike price Interest rate Dividend payout % Time to expiration Number of periods Volatility delta T 0.25 sigma 0.3 =L10*$D$11 change in t =J12*$D$11 =H14*$D$11 d =L10*$D$12 =D6/D7 =EXP(D8*SQRTD =1/D11 =EXP(D10*(D4-D5 =(D13-D12)/(D11- =1-D14 _ Llo-sosia =F16*$D$11 =J12*$D$12 1-0 =H18*$D$11 - =L18*$D$11 18s0$11K =F16*$D$12 =J16*$D$12 - Posse K 28*80$12 =H18*$D$12 =L18*$D$12 Call Price - $20-$0$12 K =J20*$D$12 PUT-CALL PARITY =L22*$D$12 Put Price Call Price T: 0 =D10 =#34+$D$10 =H34+$D$10 =J34+$D$10 =L34+$D$10 Binomial Option Pricing a. Calculate the value of the Call premium using a 6-step binomial pricing model (3 points) b. Using Put-Call Parity (PCP) calculate the value of a Put using your answer in (la) (1 point) c. Using Put-Call Parity (PCP) calculate the value of a Call using your answer in (1b) (1 point) 44.6146 11.6146 Stock price LS Strike price X Interest rate Dividend payout % delta Time to expiration I Number of periods n Volatility sigma 30 33 3.00% 0.00% 0.2500 7 30.00% 42.1555 9.1908 39.8320 39.8320 6.8320 37.6366 37.6366 4.6719 35.5621 35.5621 35.5621 2.5621 0.0357 1.0583 0.9449 1.0011 0.4953 33.6020 change in t u d - 1.p 33.6020 33.6020 1.2676 31.7500 31.7500 31.7500 31.7500 0.0000 0.5047 30.0000 30.0000 30.0000 30.0000 0.0000 28.3465 28.3465 28.3465 28.3465 0.0000 26.7841 26.7841 26.7841 0.0000 Call Price 25.3078 25.3078 25.3078 0.0000 23.9129 PUT-CALL PARITY Put Price Call Price 23.9129 0.0000 22.5949 22.5949 0.0000 21.3495 0.0000 20.1728 0.0000 S 30 33 0.03 Stock price Strike price Interest rate Dividend payout % Time to expiration Number of periods Volatility delta T 0.25 sigma 0.3 =L10*$D$11 change in t =J12*$D$11 =H14*$D$11 d =L10*$D$12 =D6/D7 =EXP(D8*SQRTD =1/D11 =EXP(D10*(D4-D5 =(D13-D12)/(D11- =1-D14 _ Llo-sosia =F16*$D$11 =J12*$D$12 1-0 =H18*$D$11 - =L18*$D$11 18s0$11K =F16*$D$12 =J16*$D$12 - Posse K 28*80$12 =H18*$D$12 =L18*$D$12 Call Price - $20-$0$12 K =J20*$D$12 PUT-CALL PARITY =L22*$D$12 Put Price Call Price T: 0 =D10 =#34+$D$10 =H34+$D$10 =J34+$D$10 =L34+$D$10 Binomial Option Pricing a. Calculate the value of the Call premium using a 6-step binomial pricing model (3 points) b. Using Put-Call Parity (PCP) calculate the value of a Put using your answer in (la) (1 point) c. Using Put-Call Parity (PCP) calculate the value of a Call using your answer in (1b) (1 point)