Financial Analytics - A Practitioner's Resourcekit

- Author: Thiru Praturi

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BondOptions Pricer
Credit Derivatives
Maturity Factor 4.3.4

Binomial Tree 2.4.1

Bond Convexity 4.3.9

Option Analytics 8.1.12

Option Greeks 8.2.5

YTM Calcs 4.2.5

Curve Analytics 11.1.2

IR Swaps 11.2.2

StructuredNotes

Range Accruals
Cliquets/Ratchets

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Thiruspace.com : SampleTopics : Binomial Tree 2.4.1

Build a Binomial Tree for Equity Options - A Practice Session

Change Following Option Parameters and Click on Button below to Build Tree-based Model.
Option Strike Underlying Exercise Number Volatility RF Yield Div Yield
Type Price Price Year(s) Period(s) % % %%

Call 50 50 1.25 12 20.5 3.125 1.25

Click HERE to build a Binomial-Tree Model

Binomial Tree for American Call Option with Following Parameters:
Spot Px:= 50: Strike Px:= 50: Volatility:= 20.5: Number NODES selected:= 12: OptionType:=Call
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Node0 Node1 Node2 Node3 Node4 Node5 Node6 Node7 Node8 Node9 Node10 Node11 Node12

110.607

60.607

103.526

53.623

96.898 96.898

47.093 46.898

90.694 90.694

40.986 40.792

84.888 84.888 84.888

35.277 35.083 34.888

79.453 79.453 79.453

29.939 29.745 29.551

74.366 74.366 74.366 74.366

24.946 24.755 24.561 24.366

69.605 69.605 69.605 69.605

20.324 20.085 19.897 19.703

65.149 65.149 65.149 65.149 65.149

16.149 15.814 15.526 15.344 15.149

60.978 60.978 60.978 60.978 60.978

12.502 12.066 11.635 11.246 11.076

57.074 57.074 57.074 57.074 57.074 57.074

9.433 8.930 8.392 7.816 7.220 7.074

53.420 53.420 53.420 53.420 53.420 53.420

6.945 6.423 5.850 5.205 4.442 3.420

50.000 50.000 50.000 50.000 50.000 50.000

4.997 4.501 3.959 3.349 2.632 1.701

46.799 46.799 46.799 46.799 46.799 46.799

3.082 2.611 2.096 1.520 0.846 0.000

43.803 43.803 43.803 43.803 43.803 43.803

1.684 1.283 0.860 0.421 0.000 0.000

40.998 40.998 40.998 40.998 40.998

0.770 0.480 0.209 0.000 0.000

38.374 38.374 38.374 38.374 38.374

 0.265 0.104 0.000 0.000 0.000

35.917 35.917 35.917 35.917

0.052 0.000 0.000 0.000

33.617 33.617 33.617 33.617

0.000 0.000 0.000 0.000

31.465 31.465 31.465

0.000 0.000 0.000

29.451 29.451 29.451

0.000 0.000 0.000

27.565 27.565

0.000 0.000

25.800 25.800

0.000 0.000

24.149

0.000

22.603

0.000

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