The document provides inputs and outputs for a binomial option pricing model. It lists the annualized standard deviation, riskless rate, dividend yield, and number of periods as inputs. It then shows the up and down movements calculated from those inputs, and the resulting stock price values from 0 to 5 periods into the future.
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The document provides inputs and outputs for a binomial option pricing model. It lists the annualized standard deviation, riskless rate, dividend yield, and number of periods as inputs. It then shows the up and down movements calculated from those inputs, and the resulting stock price values from 0 to 5 periods into the future.
The document provides inputs and outputs for a binomial option pricing model. It lists the annualized standard deviation, riskless rate, dividend yield, and number of periods as inputs. It then shows the up and down movements calculated from those inputs, and the resulting stock price values from 0 to 5 periods into the future.
Copyright:
Attribution Non-Commercial (BY-NC)
Available Formats
Download as XLS, PDF, TXT or read online from Scribd
The document provides inputs and outputs for a binomial option pricing model. It lists the annualized standard deviation, riskless rate, dividend yield, and number of periods as inputs. It then shows the up and down movements calculated from those inputs, and the resulting stock price values from 0 to 5 periods into the future.
Copyright:
Attribution Non-Commercial (BY-NC)
Available Formats
Download as XLS, PDF, TXT or read online from Scribd
Download as xls, pdf, or txt
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Inputs to model
Annualized Standard deviation =
42% Riskless rate = 5% Dividend yield = 20% Number of periods each year = 1 Binomial inputs Up movement in binomial = 1.1993743 Down movement in binomial = 0.5177825 Value today One period from now Two periods from now Three periods from now Four periods from now Five periods from now
Power Cost Per Hour 20 Operator Cost Per Hour 45 Annual Repairs 40000 Depreciation 25000 Insurance 15000 Estimate Number of Hours 5000 Compute The Machine Hour Rate Computation of Machine Hour Rate
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