Lattice Parameters

Initial Price
100
0.25
T (years)
30.0%
volatility
# Periods
15
2.00%
r
1.00%
Div-Yield
u
1.03949
d
0.96201
q
49.25%
1-q
50.75%

Futures Parameters
Expiration
15

Stock-Lattice

100.00

103.95
96.20

108.05
100.00
92.55

t=0

t=1

t=2

121.37
112.32
103.95
96.20
89.03
82.39

112.32
103.95
96.20
89.03

116.76
108.05
100.00
92.55
85.65

t=3

t=4

t=5

4.825
9.173
14.824
21.165

3.026
6.575
11.700
17.866
24.381

1.675
4.339
8.749
14.572
21.074
27.605

American Option-Lattice

12.36

9.57
15.08

7.03
12.04
18.04

t=0

t=1

t=2

t=3

t=4

t=5

0.000
1.946
10.000
17.454
24.352

0.000
0.000
6.051
13.799
20.969
27.605

t=4

t=5

no
no
no
no
no

no
no
no
no
no
yes

t=4

t=5

European Option-Lattice

10.000

6.051
13.799

1.946
10.000
17.454

0.000
6.051
13.799
20.969

t=0

t=1

t=2

t=3

Exercise

no

no
no

no
no
no

no
no
no
no

t=0

t=1

t=2

t=3

Option Parameters
Call / Put
-1
Strike
110
Expiration
15
Type
American

126.16
116.76
108.05
100.00
92.55
85.65
79.26

131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25

136.32
126.16
116.76
108.05
100.00
92.55
85.65
79.26
73.36

141.70
131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25
70.57

t=6

t=7

t=8

t=9

0.773
2.551
6.076
11.347
17.710
24.352
30.735

0.267
1.265
3.800
8.289
14.323
21.008
27.605
33.747

0.052
0.475
2.031
5.520
10.981
17.576
24.352
30.735
36.643

0.000
0.103
0.837
3.191
7.783
14.090
20.969
27.605
33.747
39.430

159.16
147.30
136.32
126.16
116.76
108.05
100.00
92.55
85.65
79.26
73.36
67.89
62.83

147.30
136.32
126.16
116.76
108.05
100.00
92.55
85.65
79.26
73.36
67.89

153.12
141.70
131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25
70.57
65.31

t = 10

t = 11

t = 12

0.000
0.000
0.203
1.452
4.880
10.605
17.481
24.352
30.735
36.643
42.111

0.000
0.000
0.000
0.401
2.473
7.219
13.898
20.969
27.605
33.747
39.430
44.690

0.000
0.000
0.000
0.000
0.790
4.108
10.243
17.454
24.352
30.735
36.643
42.111
47.171

t=6

t=7

t=8

0.000
0.000
1.946
10.000
17.454
24.352
30.735

0.000
0.000
0.000
6.051
13.799
20.969
27.605
33.747

0.000
0.000
0.000
1.946
10.000
17.454
24.352
30.735
36.643

t=6

t=7

t=8

no
no
no
no
no
yes
yes

no
no
no
no
no
no
yes
yes

no
no
no
no
no
no
yes
yes
yes

t=6

t=7

t=8

t=9

t = 10

t = 11

t = 12

0.000
0.000
0.000
0.000
0.000
6.051
13.799
20.969
27.605
33.747
39.430
44.690

0.000
0.000
0.000
0.000
0.000
1.946
10.000
17.454
24.352
30.735
36.643
42.111
47.171

0.000
0.000
0.000
0.000
6.051
13.799
20.969
27.605
33.747
39.430

0.000
0.000
0.000
0.000
1.946
10.000
17.454
24.352
30.735
36.643
42.111

t=9

t = 10

t = 11

t = 12

no
no
no
no
no
no
no
yes
yes
yes
yes
yes

no
no
no
no
no
no
no
yes
yes
yes
yes
yes
yes

t = 11

t = 12

no
no
no
no
no
no
yes
yes
yes
yes

no
no
no
no
no
no
no
yes
yes
yes
yes

t=9

t = 10

165.45
153.12
141.70
131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25
70.57
65.31
60.44

171.98
159.16
147.30
136.32
126.16
116.76
108.05
100.00
92.55
85.65
79.26
73.36
67.89
62.83
58.15

178.77
165.45
153.12
141.70
131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25
70.57
65.31
60.44
55.94

t = 13

t = 14

t = 15

0.000
0.000
0.000
0.000
0.000
1.558
6.585
13.799
20.969
27.605
33.747
39.430
44.690
49.558

0.000
0.000
0.000
0.000
0.000
0.000
3.070
10.000
17.454
24.352
30.735
36.643
42.111
47.171
51.854

0.000
0.000
0.000
0.000
0.000
0.000
0.000
6.051
13.799
20.969
27.605
33.747
39.430
44.690
49.558
54.063

P0
C0

12.3597848 S0
2.604077133 K

P0 +(S0*e^cT)=
C0 +(K*e^rT) =

112.110097
112.0554498

t = 13

t = 14

t = 15

0.000
0.000
0.000
0.000
0.000
0.000
6.051
13.799
20.969
27.605
33.747
39.430
44.690
49.558

0.000
0.000
0.000
0.000
0.000
0.000
1.946
10.000
17.454
24.352
30.735
36.643
42.111
47.171
51.854

0.000
0.000
0.000
0.000
0.000
0.000
0.000
6.051
13.799
20.969
27.605
33.747
39.430
44.690
49.558
54.063

t = 13

t = 14

t = 15

no
no
no
no
no
no
no
yes
yes
yes
yes
yes
yes
yes

no
no
no
no
no
no
no
yes
yes
yes
yes
yes
yes
yes
yes

no
no
no
no
no
no
no
yes
yes
yes
yes
yes
yes
yes
yes
yes

t = 13

t = 14

t = 15

100
110

0.054647193

T
r

0.25
2.00%

1.00%

Lattice Parameters
Initial Price
100
0.25
T (years)
30.0%
volatility
# Periods
15
2.00%
r
1.00%
Div-Yield
u
1.03949
d
0.96201
q
49.25%
1-q
50.75%

Futures Parameters
Expiration
15

Stock-Lattice

100.00

103.95
96.20

108.05
100.00
92.55

t=0

t=1

t=2

121.37
112.32
103.95
96.20
89.03
82.39

112.32
103.95
96.20
89.03

116.76
108.05
100.00
92.55
85.65

t=3

t=4

t=5

112.55

117.0
108.25

121.6
112.5
104.12

Futures-Lattice

100.25

104.19
96.43

108.29
100.22
92.75

t=0

t=1

t=2

104.16
96.39
89.21

100.18
92.72
85.81

96.36
89.18
82.53

t=3

t=4

t=5

8.690
3.364
0.835
0.098
0.000

12.195
5.295
1.492
0.198
0.000
0.000

American Option-Lattice

1.663

2.608
0.746

4.002
1.258
0.251

5.985
2.080
0.461
0.048

t=0

t=1

t=2

t=3

t=4

t=5

0.000

0.000
0.000

0.000
0.000
0.000

2.546
0.000
0.000
0.000

6.971
0.000
0.000
0.000
0.000

11.569
2.508
0.000
0.000
0.000
0.000

t=0

t=1

t=2

t=3

t=4

t=5

European Option-Lattice

Exercise

no

no
no

no
no
no

t=0

t=1

t=2

no
no
no
no

no
no
no
no
no

t=3

t=4

no
no
no
no
no
no
t=5

Option Parameters
Call / Put
1
Strike
110
Expiration
10
Type
American

126.16
116.76
108.05
100.00
92.55
85.65
79.26

131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25

136.32
126.16
116.76
108.05
100.00
92.55
85.65
79.26
73.36

141.70
131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25
70.57

t=6

t=7

t=8

t=9

126.3
116.9
108.2
100.15

131.3
121.5
112.5
104.1
96.33

136.5
126.3
116.9
108.2
100.1
92.65

141.8
131.3
121.5
112.4
104.1
96.3
89.12

159.16
147.30
136.32
126.16
116.76
108.05
100.00
92.55
85.65
79.26
73.36
67.89
62.83

147.30
136.32
126.16
116.76
108.05
100.00
92.55
85.65
79.26
73.36
67.89

153.12
141.70
131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25
70.57
65.31

t = 10

t = 11

t = 12

147.42
136.43
126.26
116.85
108.14
100.08
92.62
85.72

153.22
141.80
131.23
121.45
112.40
104.02
96.27
89.09
82.45

159.24
147.37
136.39
126.22
116.81
108.11
100.05
92.59
85.69
79.30

92.69
85.78
79.38

89.15
82.50
76.36

85.75
79.36
73.44

82.48
76.33
70.64

79.33
73.42
67.95

76.30
70.62
65.35

73.39
67.92
62.86

t=6

t=7

t=8

t=9

t = 10

t = 11

t = 12

16.464
8.060
2.615
0.403
0.000
0.000
0.000

21.317
11.766
4.470
0.818
0.000
0.000
0.000
0.000

26.480
16.307
7.368
1.661
0.000
0.000
0.000
0.000
0.000

31.846
21.273
11.488
3.374
0.000
0.000
0.000
0.000
0.000
0.000

37.422
26.434
16.265
6.854
0.000
0.000
0.000
0.000
0.000
0.000
0.000

t=6

t=7

t=8

t=9

t = 10

16.349
6.932
0.000
0.000
0.000
0.000
0.000

21.317
11.529
2.471
0.000
0.000
0.000
0.000
0.000

26.480
16.307
6.893
0.000
0.000
0.000
0.000
0.000
0.000

31.846
21.273
11.488
2.433
0.000
0.000
0.000
0.000
0.000
0.000

37.422
26.434
16.265
6.854
0.000
0.000
0.000
0.000
0.000
0.000
0.000

t=6

t=7

t=8

t=9

t = 10

no
no
no
no
no
no
no

yes
no
no
no
no
no
no
no

yes
yes
no
no
no
no
no
no
no

yes
yes
yes
no
no
no
no
no
no
no

t=6

t=7

t=8

t=9

yes
yes
yes
yes
no
no
no
no
no
no
no
t = 10

165.45
153.12
141.70
131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25
70.57
65.31
60.44

171.98
159.16
147.30
136.32
126.16
116.76
108.05
100.00
92.55
85.65
79.26
73.36
67.89
62.83
58.15

178.77
165.45
153.12
141.70
131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25
70.57
65.31
60.44
55.94

t = 13

t = 14

t = 15

165.50
153.17
141.75
131.19
121.41
112.36
103.98
96.23
89.06
82.42
76.28

172.01
159.19
147.32
136.34
126.18
116.78
108.07
100.02
92.56
85.66
79.28
73.37

178.77
165.45
153.12
141.70
131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25
70.57

70.59
65.33
60.46
t = 13

67.90
62.84
58.16
t = 14

65.31
60.44
55.94
t = 15

Lattice Parameters
Initial Price
100

Option Parameters
Call / Put
-1

0.25
30.0%

T (years)
volatility
# Periods
r

Strike

100

15

2.00%
1.00%

Div-Yield
u
d
q
1-q

1.03949
0.96201
49.25%
50.75%

Share
0
15
14
13
12
11
10
9
8
7
6
5
4
3
2
1
0

100.00

103.95
96.20

108.05
100.00
92.55

112.32
103.95
96.20
89.03

116.76
108.05
100.00
92.55
85.65

121.37
112.32
103.95
96.20
89.03
82.39

126.16
116.76
108.05
100.00
92.55
85.65
79.26

0.78
2.27
5.13
9.45
14.84

0.32
1.22
3.30
6.92
11.92
17.69

0.10
0.54
1.87
4.68
9.10
14.67
20.64

European Option Payoff

0
15
14
13
12
11
10
9
8
7
6
5
4
3
2
1
0

5.93

4.12
7.70

2.64
5.55
9.79

1.53
3.72
7.32
12.19

0
10
9
8
7
6
5
4
3
2
1
0

10.81

11.08
10.56

12.32
9.89
11.21

14.59
10.14
9.65
12.73

17.81
11.47
8.86
10.43
14.97

21.82
13.93
9.08
8.64
12.17
17.69

26.37
17.42
10.55
7.67
9.60
14.67
20.64

10

131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25

136.32
126.16
116.76
108.05
100.00
92.55
85.65
79.26
73.36

141.70
131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25
70.57

147.30
136.32
126.16
116.76
108.05
100.00
92.55
85.65
79.26
73.36
67.89

10

0.02
0.18
0.89
2.83
6.48
11.65
17.60
23.60

0.00
0.03
0.32
1.45
4.17
8.72
14.50
20.62
26.50

0.00
0.00
0.06
0.56
2.30
5.98
11.38
17.54
23.62
29.30

0.00
0.00
0.00
0.13
0.99
3.58
8.31
14.37
20.63
26.54
32.00

11

12

13

153.12
141.70
131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25
70.57
65.31

159.16
147.30
136.32
126.16
116.76
108.05
100.00
92.55
85.65
79.26
73.36
67.89
62.83

165.45
153.12
141.70
131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25
70.57
65.31
60.44

11

12

13

0.00
0.00
0.00
0.00
0.00
0.50
2.88
7.87
14.29
20.68
26.58
32.05
37.10

0.00
0.00
0.00
0.00
0.00
0.00
0.98
4.72
10.93
17.57
23.71
29.39
34.65
39.51

0.00
0.00
0.00
0.00
0.25
1.70
5.41
11.13
17.53
23.66
29.34
34.60

31.25
21.65
13.33
7.87
7.48
11.66
17.60
23.60

36.39
26.28
17.17
9.61
6.18
8.74
14.50
20.62
26.50

41.76
31.21
21.51
12.97
6.35
6.02
11.38
17.54
23.62
29.30

10
47.34
36.37
26.22
16.95
9.12
3.67
8.31
14.37
20.63
26.54
32.00

14
171.98
159.16
147.30
136.32
126.16
116.76
108.05
100.00
92.55
85.65
79.26
73.36
67.89
62.83
58.15

14
0.00
0.00
0.00
0.00
0.00
0.00
0.00
1.93
7.44
14.33
20.72
26.62
32.09
37.15
41.83

15
178.77
165.45
153.12
141.70
131.14
121.37
112.32
103.95
96.20
89.03
82.39
76.25
70.57
65.31
60.44
55.94

15
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
3.80
10.97
17.61
23.75
29.43
34.69
39.56
44.06