Option pricing.xlsx

	B	C	D	E	G	H	I	J	L	M	N	O
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3	S0	100
4	u	1.07
5	d	0.93
6	R	1.01
7	K	100
8					Compute Ct in one step
9	q	0.56			6.57
10	1-q	0.44
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14	St				Ct				Risk-neutral probabilities
15				122.50				22.50				0.17
16			114.49	107.00			15.48	7.00			0.31	0.41
17		107.00	100.00	93.46		10.23	3.86	0.00		0.56	0.49	0.33
18	100	93.46	87.34	81.63	6.57	2.13	0.00	0.00	1	0.44	0.20	0.09
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21	xt				yt				Replicating strategy for Ct
22				22.50				22.50				22.50
23			1.00	7.00			-97.06	7.00			15.48	7.00
24		0.80	0.52	0.00		-74.83	-46.89	0.00		10.23	3.86	0.00
25	0.60	0.30	0.00	0.00	-53.25	-26.11	0.00	0.00	6.57	2.13	0.00	0.00
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