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Sally Jameson Value of Stock Option Number of Options Call Price

$

3000 4.63

Total Value

$

13,902.13

$

5,000.00 6.02% 5 6,697.44

Value of Cash Option Total Current Amount Risk Free Rate (5 years) Period The Total Value

$

BLACK-SCHOLES AND BINOMINAL PRICING Current stock price $ 18.75 Option exercise price $ 35.00 Time to option exercise (in years) 5 Annual interest rate 6.02% Riskiness of stock 40% Number of subdivisions of T 20 Dt = T/n Up, U Down, D Interest rate, R

BLACK-SCHOLES Current stock price Option exercise price Time to option exercise (in years) Annual interest rate Riskiness of stock

State Prices Period Stock

0.2500 1.2214 0.8187 1.0152

state prices qu

0.4805

qd

0.5045 BINOMINAL

$ $

18.75 35.00 5 6.02% 40%

d1

0.0859

d2

-0.8085

N(d1)

0.5342

N(d2)

0.2094

Call price

4.5929

Call

0

1

2

3

4

5

6

7

8

9

18.75

22.90 15.35

27.97 18.75 12.57

34.16 22.90 15.35 10.29

41.73 27.97 18.75 12.57 8.42

50.97 34.16 22.90 15.35 10.29 6.90

62.25 41.73 27.97 18.75 12.57 8.42 5.65

76.03 50.97 34.16 22.90 15.35 10.29 6.90 4.62

92.87 62.25 41.73 27.97 18.75 12.57 8.42 5.65 3.79

113.43 76.03 50.97 34.16 22.90 15.35 10.29 6.90 4.62 3.10

4.6340

6.76 2.75

9.72 4.13 1.52

13.80 6.12 2.36 0.76

19.31 8.95 3.61 1.23 0.34

26.65 12.89 5.46 1.96 0.57

36.26 18.29 8.13 3.08 0.95

48.64 25.55 11.92 4.76 1.56

64.36 35.11 17.19 7.26 2.53

84.06 47.49 24.36 10.88 4.03

0.13

0.23

0.40

0.69

1.17

0.04

0.07 0.01

0.14 0.02

0.25 0.03

0.00

0.00

INOMINAL

0.00

10

11

12

13

14

15

16

17

18

19

138.54 92.87 62.25 41.73 27.97 18.75 12.57 8.42 5.65 3.79 2.54

169.22 113.43 76.03 50.97 34.16 22.90 15.35 10.29 6.90 4.62 3.10 2.08

206.68 138.54 92.87 62.25 41.73 27.97 18.75 12.57 8.42 5.65 3.79 2.54 1.70

252.45 169.22 113.43 76.03 50.97 34.16 22.90 15.35 10.29 6.90 4.62 3.10 2.08 1.39

308.34 206.68 138.54 92.87 62.25 41.73 27.97 18.75 12.57 8.42 5.65 3.79 2.54 1.70 1.14

376.60 252.45 169.22 113.43 76.03 50.97 34.16 22.90 15.35 10.29 6.90 4.62 3.10 2.08 1.39 0.93

459.98 308.34 206.68 138.54 92.87 62.25 41.73 27.97 18.75 12.57 8.42 5.65 3.79 2.54 1.70 1.14 0.76

561.83 376.60 252.45 169.22 113.43 76.03 50.97 34.16 22.90 15.35 10.29 6.90 4.62 3.10 2.08 1.39 0.93 0.63

686.22 459.98 308.34 206.68 138.54 92.87 62.25 41.73 27.97 18.75 12.57 8.42 5.65 3.79 2.54 1.70 1.14 0.76

838.15 561.83 376.60 252.45 169.22 113.43 76.03 50.97 34.16 22.90 15.35 10.29 6.90 4.62 3.10 2.08 1.39 0.93

0.51

0.63 0.42

108.52 63.26 33.89 16.00 6.32

138.67 83.03 46.30 23.07 9.74

175.65 107.54 62.13 32.59 14.69

220.94 137.72 81.99 45.06 21.67

276.36 174.71 106.57 61.01 31.20

344.14 219.98 136.76 80.97 43.80

427.03 275.38 173.73 105.59 59.91

528.37 343.15 218.99 135.76 79.98

652.25 426.02 274.37 172.72 104.58

803.67 527.35 342.13 217.97 134.74

1.97

3.26

5.31

8.47

13.23

20.13

29.75

42.58

58.91

78.95

0.45 0.06

0.80 0.12

1.41 0.24

2.45 0.45

4.20 0.86

7.05 1.60

11.56 2.96

18.42 5.38

28.29 9.56

41.56 16.49

0.00

0.01

0.02

0.04

0.08

0.17

0.36

0.75

1.55

3.23

0.00 0.00

0.00 0.00 0.00

0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00

0.00 0.00

0.00 0.00 0.00

0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00 0.00

20 1023.72 686.22 459.98 308.34 206.68 138.54 92.87 62.25 41.73 27.97 18.75 12.57 8.42 5.65 3.79 2.54 1.70 1.14 0.76 0.51 0.34

988.72 651.22 424.98 273.34 171.68 103.54 57.87 27.25 6.73 0.00 0.00 0.00 0.00 0.00

0.00 0.00 0.00 0.00 0.00 0.00 0.00