- Find The Prices Of The European And American Call Or Put Option See Table 3 The Parameters Of The Binomial And Trinom 1 (83.62 KiB) Viewed 52 times
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Find the prices of the European and American call or put option (see table 3). The parameters of the binomial and trinomial model are the following: to =0, T = 2, S(to)=100, o² = 0.15. In case of put option r =0.03, in case of call option r=-0.02. Exercise price E, option type (put or call) and concrete method of binomial model (CRR or Jarrow-Rudd parameters) - see Table 3 below. More exactly, 1) Find the prices of European and American option using a) Binomial method with CRR or Jarrow-Rudd parameters, b) Leisen-Reimer method; c) Trinomial method: 2) Find the price of the European option using limit price formula (Black-Scholes formula) Present in pdf-file: 1) prices and errors of European option in case N=300, N=400 and N=500 (see table 1). Here error = V3 - VBC, where V8 - option price of corresponding binomial or trinomial model, VBC - option limit price. Present the results to five decimal places. вс
Error's N=400 N=500 Table. 1. Prices and errors of the European option. Prices Method N=300 | N=400 N=500 N=300 CRR or Jarrow- Rudd Leisen-Reimer Trinomial Black-Scholes 2) Prices of the American option (see table 2) Table 2. Prices Method N=300 | N=400 N=500 CRR or Jarrow- Rudd Leisen-Reimer Trinomial 3) Two graphs (one for European option, second for American option). x-axis: N. 30 < N < 500; y-axis: prices V(N) using CRR or Jarrow-Rudd, Leisen- Reimer method and trinomial method and price Vbc (only in case of European option). Present corresponding program code with short comments also.