LONG CALL AMERICANA

CONTADO 25
EJERCICIO 26
INTERES 4%
VOLATILIDAD 18%
MESES (T) 9
RAMAS(N) 3

U EXP(VOL*RAIZ(T/N) 1.36583935
D EXP(-VOL*RAIZ(T/N) 1/U 0.73215053 0.73215053
P (EXP(INT/ITERA)-D)/(U-D) 44%
Q 1-P 56%

46.637928

34.1459837

25 25

18.3037632

13.4011099

T 0 1 2

Valorar PRIMAPrecio X= 26 Precio X= 30 Precio X= 34 Precio X= 38 Interes= 2% Interes= 6%

Long call
Short call
Long Put
Short Put

Valorar PRIMAPara N=1 Para N=2 Para T=3 Para T=6 Para T=12 Para vol: 10%
Long call
Short call
Long Put
Short Put
 63.6999171

34.1459837

18.3037632

9.81162973

Interes= 8% Interes= 10%

Para vol: 15%Para vol: 20%

 rboles Binomiales
FCSH -ESPOL Deber # 6
27/07/2017

LONG CALL EUROPEA Posicin referente

CONTADO 25 Long call Compra
EJERCICIO 26 Short call Venta
INTERES 4% Long put Venta
VOLATILIDAD 18% Short put Compra
MESES (T) 9 Total de tiempo
RAMAS(N) 3 Numero de cortes Posicin Compra
Delta t 0.25

U EXP(VOL*RAIZ(T/N)) 1.0941743
D EXP(-VOL*RAIZ(T/N) 1/U 0.9139312 0.7321505
P (EXP(INT*ITERA)-D)/(U-D) 53.33%
Q 1-P 46.67%

32.749111
6.7491113
29.930434
4.1891384
27.3543571 27.354357
2.54214583 1.3543571
25 25
1.51662007 0.7150572
22.8482796 22.84828
0.37752727 0
20.881755
0
19.084487
0
T 0 1 2 3

Precio X= Precio X= Precio X= Precio X= Interes= Interes= Interes=

Valorar PRIMA Interes= 10%
26 30 34 38 2% 6% 8%
Long call -1.5166201 -4.1824244 -2.5670176 -2.180995 -5.5809737 -6.0181512 -6.2419038 -6.46906003
Short call 1.51662007 4.18242442 2.56701762 2.18099503 5.5809737 6.0181512 6.2419038 6.469060034
Long Put -1.7482039 -8.0445363 -10.310912 -13.806671 -6.0685711 -5.4962591 -5.2227482 -4.95751267
Short Put 1.74820394 8.04453625 10.3109116 13.8066711 6.0685711 5.4962591 5.2227482 4.957512665

Para vol: Para vol: Para vol: 20%

Para N=1 Para N=2 Para T=3 Para T=6 Para T=12
Valorar PRIMA 10% 15%
Long call -3.5797375 3.98548699 -5.9149552 -5.8561004 -5.7401418 -3.2353337 -4.8491601 -6.42135744
Short call 4.23756084 4.30342904 5.89488752 5.83623241 5.7206673 3.2156634 4.8294898 6.401687137
Long Put -4.2375608 -4.303429 -5.8948875 -5.8362324 -5.7206673 -3.2156634 -4.8294898 -6.40168714
Short Put 3.57973754 -3.985487 5.91495519 5.8561004 5.7401418 3.2353337 4.8491601 6.421357441

Elaborado por: Jonathan Scola 3/16

 rboles Binomiales
FCSH -ESPOL Deber # 6
27/07/2017

precio
Long call 1.51
Long put 1.74 la long put es ms cara porque es mercado bajista

Elaborado por: Jonathan Scola 4/16

 rboles Binomiales
FCSH -ESPOL Deber # 6
27/07/2017

LONG CALL EUROPEA Posicin referente

CONTADO 25 Long call Compra
EJERCICIO 26 Short call Venta
INTERES 4% Long put Venta
VOLATILIDAD 18% Short put Compra
MESES (T) 9 Total de tiempo
RAMAS(N) 3 Numero de cortes Posicin Compra
Delta t 0.25

U EXP(VOL*RAIZ(T/N)) 1.0941743
D EXP(-VOL*RAIZ(T/N) 1/U 0.9139312 0.7321505
P (EXP(INT*ITERA)-D)/(U-D) 53.33%
Q 1-P 46.67%

32.749111
6.7491113
29.930434
4.1891384
27.3543571 4.2 27.354357
2.5478804 1.3543571
25 1.35435709 25
1.51964774 0.7150572
0 22.8482796 0 22.84828
0.37752727 0
0 20.881755
0
0 19.084487
0
T 0 1 2 3

Precio X= Precio X= Precio X= Precio X= Interes= Interes= Interes=

Valorar PRIMA Interes= 10%
26 30 34 38 2% 6% 8%
Long call -1.5166201 -4.1824244 -2.5670176 -2.180995 -5.5809737 -6.0181512 -6.2419038 -6.46906003
Short call 1.51662007 4.18242442 2.56701762 2.18099503 5.5809737 6.0181512 6.2419038 6.469060034
Long Put -1.7482039 -8.0445363 -10.310912 -13.806671 -6.0685711 -5.4962591 -5.2227482 -4.95751267
Short Put 1.74820394 8.04453625 10.3109116 13.8066711 6.0685711 5.4962591 5.2227482 4.957512665

Para vol: Para vol: Para vol: 20%

Para N=1 Para N=2 Para T=3 Para T=6 Para T=12
Valorar PRIMA 10% 15%
Long call -3.5797375 3.98548699 -5.9149552 -5.8561004 -5.7401418 -3.2353337 -4.8491601 -6.42135744
Short call 4.23756084 4.30342904 5.89488752 5.83623241 5.7206673 3.2156634 4.8294898 6.401687137
Long Put -4.2375608 -4.303429 -5.8948875 -5.8362324 -5.7206673 -3.2156634 -4.8294898 -6.40168714
Short Put 3.57973754 -3.985487 5.91495519 5.8561004 5.7401418 3.2353337 4.8491601 6.421357441

Elaborado por: Jonathan Scola 5/16

 rboles Binomiales
FCSH -ESPOL Deber # 6
27/07/2017

precio
Long call 1.51
Long put 1.74 la long put es ms cara porque es mercado bajista

Elaborado por: Jonathan Scola 6/16

 rboles Binomiales
FCSH -ESPOL Deber # 6
27/07/2017

LONG CALL EUROPEA Posicin referente

CONTADO 40 Long call Compra
EJERCICIO 42 Short call Venta
INTERES 12% Long put Venta
VOLATILIDAD 10% Short put Compra
MESES (T) 6 Total de tiempo
RAMAS(N) 2 Numero de cortes Posicin Compra
Delta t 0.25

U EXP(VOL*RAIZ(T/N)) 1.0512711
D EXP(-VOL*RAIZ(T/N) 1/U 0.9512294 0.8409651
P (EXP(INT*ITERA)-D)/(U-D) 79.19%
Q 1-P 20.81%

46.47337
4.4733697
44.206837
2.2068367
42.0508439 2.2068367 42.050844
1.69598995 0.0508439
40 0.05084386 40
1.30339589 0
0 38.049177 0 38.049177
0 0
0 36.193497
0
0 34.428319
0
T 0 1 2 3

Precio X= Precio X= Precio X= Precio X= Interes= Interes= Interes=

Valorar PRIMA Interes= 10%
26 30 34 38 2% 6% 8%
Long call -1.5166201 -4.1824244 -2.5670176 -2.180995 -5.5809737 -6.0181512 -6.2419038 -6.46906003
Short call 1.51662007 4.18242442 2.56701762 2.18099503 5.5809737 6.0181512 6.2419038 6.469060034
Long Put -1.7482039 -8.0445363 -10.310912 -13.806671 -6.0685711 -5.4962591 -5.2227482 -4.95751267
Short Put 1.74820394 8.04453625 10.3109116 13.8066711 6.0685711 5.4962591 5.2227482 4.957512665

Para vol: Para vol: Para vol: 20%

Para N=1 Para N=2 Para T=3 Para T=6 Para T=12
Valorar PRIMA 10% 15%
Long call -3.5797375 3.98548699 -5.9149552 -5.8561004 -5.7401418 -3.2353337 -4.8491601 -6.42135744
Short call 4.23756084 4.30342904 5.89488752 5.83623241 5.7206673 3.2156634 4.8294898 6.401687137
Long Put -4.2375608 -4.303429 -5.8948875 -5.8362324 -5.7206673 -3.2156634 -4.8294898 -6.40168714
Short Put 3.57973754 -3.985487 5.91495519 5.8561004 5.7401418 3.2353337 4.8491601 6.421357441

Elaborado por: Jonathan Scola 9/16

 rboles Binomiales
FCSH -ESPOL Deber # 6
27/07/2017

precio
Long call 1.51
Long put 1.74 la long put es ms cara porque es mercado bajista

Elaborado por: Jonathan Scola 10/16

So 38
K 40
r 16% d1 d2
Volatividad 35% Original 0.23973629 -0.0077511
T (aos) 0.5 Inverso -0.2397363 0.00775108

Probabilidades
59.47% 49.69%
40.53% 50.31%
100.00% 100.00%

Call 4.25169234
Put 3.17634619
 d1 d2
Original 0.2017 -0.0104
Inverso -0.2017 0.0104

Probabilidades
57.99% 49.59%
42.01% 50.41%
100.00% 100.00%
So 25
K 26
r 4% d1 d2
Volatividad 18% Original 0.01879138 -0.1370932
T (aos) 0.75 Inverso -0.0187914 0.13709319

Probabilidades
50.75% 44.55%
49.25% 55.45%
100.00% 100.00%

Arbol binomiaBlack-scholes
Call -1.5166201 1.44727605 la prima de una opcion americana es mayor o ig
Put -1.7482039 1.67885993
 d1 d2
Original 0.2017 -0.0104
Inverso -0.2017 0.0104

Probabilidades
57.99% 49.59%
42.01% 50.41%
100.00% 100.00%

a opcion americana es mayor o igual a una europea