S Stock price Strike price Interest rate Dividend payout % Time to expiration Number of periods Volatility r delta T n sigma 45 50 1.00% 0.00% 0.5000 10 90.00% change in t u d a p 1.p Call Price PUT-CALL PARITY Put Price Call Price 1 At=T (change in time between nodes) eovat (how far the price moves up) . d (how far the price moves down) eAt(r-8) (expected risk-neutral return) 'p (probability of price moving up) a = a-d u-d 10 0 0.0000 0.0000 0.0000 0.0000 4 0.0000 0.0000 0.0000 0.0000 0.0000 9 0.0000 0.0000 S Stock price Strike price Interest rate Dividend payout % Time to expiration Number of periods Volatility r delta T n sigma 45 50 1.00% 0.00% 0.5000 10 90.00% change in t u d a p 1.p Call Price PUT-CALL PARITY Put Price Call Price 1 At=T (change in time between nodes) eovat (how far the price moves up) . d (how far the price moves down) eAt(r-8) (expected risk-neutral return) 'p (probability of price moving up) a = a-d u-d 10 0 0.0000 0.0000 0.0000 0.0000 4 0.0000 0.0000 0.0000 0.0000 0.0000 9 0.0000 0.0000