Option Pricing

Pricing for both Call & Put Options (Just se Inputs
Option Strike Price, k S0 u d R t1 t2 p1 1-p1 p2 1-p2 Put 45 50 20% 20% 8.00% 6 6 0.60 0.40 0.60 0.40

1.20 0.80 0.50 0.5

or both Call & Put Options (Just select the type of option below)

72 0

Fuu

Fu = 50 0 1.91

60 0 0.00 48 0 40 5 4.97 32 13 Fud

Fo =

Fd =

Fdd

Find the price of a put option with a strike price of 45 on a stock which is currently trading at Rs 50. the stoc

Option Strike Price, k S0 u d R t1 t2 p1 1-p1 p2 1-p2

Put 45 50 20% 20% 8% 6 6 0.60 0.40 0.60 0.40

1.20 0.80 0.5 0.5

rently trading at Rs 50. the stock can go up by 20% or down by 20%. There are two time periods of 6 months each. R=8%

72 0

Fuu

Fu = 50 0 1.91

60 0 0 48 0 40 5 4.97 32 13 Fud

Fo =

Fd =

Fdd

nths each. R=8%

72 if(C8="Call",if(C9<T11

Find the price of a call option with a strike price of 65 on a stock which is currently trading at Rs 72. the stock

Option Strike Price, k S0 u d R t1 t2 p1 1-p1 p2 1-p2

Call 65 72 30% 15% 7.50% 4 3 0.39 0.61 0.38 0.62

1.30 0.85 0.33 0.25

ntly trading at Rs 72. the stock can go up by 30% or down by 15%. There are two time periods of 4 months & 3 months each. R=7.5%

121.68 56.68

Fuu

Fu = 72 7 14.52

93.6 28.6 29.81 79.56 14.56 61.2 0 5.36 52.02 0 Fud

Fo =

Fd =

Fdd

ths & 3 months each. R=7.5%

Straddle
Type 1st Option Call 2nd Option Put Position Buy Buy Strike Price Premium 5500 5500 100 100

Nifty 4900 5000 5100 5200 5300 5400 5500 5600 5700 5800 5900 6000 6100

P/L on 1st Option P/L on 2nd Option Net Profit

Rough

Rough