Tree Display

At each node:
Upper value = Underlying Asset Price
Lower value = Option Price
Values in red are a result of early exercise.

Strike price = 40
Discount factor per step = 0.9960 64.27824
Time step, dt = 0.1000 years, 36.50 days 24.27824
Growth factor per step, a = 1.0040 58.46059
Probability of up move, p = 0.4974 18.62027
Up step size, u = 1.0995 53.16947 53.16947
Down step size, d = 0.9095 13.4882 13.16947
48.35725 48.35725
9.288548 8.516928
43.98056 43.98056 43.98056
6.137667 5.206535 3.980563
40 40 40
3.922904 3.068415 1.972001
36.37971 36.37971 36.37971
1.762399 0.976944 0
33.08708 33.08708
0.483985 0
30.09245 30.09245
0 0
27.36887
0
24.89178
0
Node Time:
0.0000 0.1000 0.2000 0.3000 0.4000 0.5000

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