Mathematical Foundations for Finance Exercise 6 Martin Stefanik ETH Zurich
European Call Price in the Binomial Model 1 / 4 2.0 Option price Option payoff 1.5 Option price 1.0 0.5 0.0 9 10 11 12 13 Initial stock price
European Put Price in the Binomial Model 2 / 4 2.0 Option price Option payoff 1.5 Option price 1.0 0.5 0.0 9 10 11 12 13 Initial stock price
Paths in the Binomial Model for a Small Step Size 3 / 4 14 13 12 Value 11 10 9 8 0 1 2 3 4 5 Time
Paths in the Black–Scholes Model 4 / 4 14 13 12 Value 11 10 9 0 1 2 3 4 5 Time
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