{"text_format":"1","workbook":"xlsx","n_sheets":5,"sheets":["1) Binomial","2) AmericanApprox","3) BlackScholes","46.DistributionMacros","47.PlainVanillaMacro"],"not_rendered":{"charts":0,"images":0,"macros":1,"external_links":1,"defined_names":1,"comments":0,"pivot_tables":0},"unopened":[{"sheet":"46.DistributionMacros","index":3,"reason":"part_missing"},{"sheet":"47.PlainVanillaMacro","index":4,"reason":"part_missing"}],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900"}

{"sheet":"1) Binomial","index":0,"n_rows":19,"n_cols":6,"rows_kept":19,"cut":false,"hidden":false,"merged":[]}
["Binomial tree"]
[]
[]
[]
[]
[null,"Asset price ( S )",146,null,{"$f":"IF(E7=1,\"e\",\"a\")","v":"a"},{"$f":"IF(F7=1,\"c\",\"p\")","v":"c"}]
[null,"Strike price ( X )",161,null,2,1]
[null,"Time to maturity ( T )",2,null,"European","Call"]
[null,"Risk-free rate ( r )",2.4E-2,null,"American","Put"]
[null,"Cost of carry ( b )",{"$f":" C9-C16","v":2.4E-2}]
[null,"Volatility ( s )",0.17]
[null,"Number of time steps ( n )",20]
[null,"Binomial value",{"$f":"CRRBinomial(E6,F6,C6,C7,C8,C9,C10,C11,C12)","v":10.819465864387823}]
[]
[]
[null,"Dividend rate (d)",0]
[]
[]
[null,"Notice that b = r - d"]

{"sheet":"2) AmericanApprox","index":1,"n_rows":19,"n_cols":5,"rows_kept":19,"cut":false,"hidden":false,"merged":[]}
["The Barone-Adesi and Whaley approximation"]
["The Bjerksund and Stensland approximation"]
[]
[]
[]
[null,"Asset price ( S )",146,null,{"$f":"IF(E7=1,\"c\",\"p\")","v":"c"}]
[null,"Strike price ( X )",161,null,1]
[null,"Time to maturity ( T )",2,null,"Call"]
[null,"Risk-free rate ( r )",2.4E-2,null,"Put"]
[null,"Cost of carry ( b )",{"$f":" C9-C16","v":2.4E-2}]
[null,"Volatility ( s )",0.17]
[null,"Barone-Adesi and Whaley",{"$f":"BAWAmericanApprox(E6,C6,C7,C8,C9,C10,C11)","v":10.903552034689861}]
[null,"Bjerksund and Stensland",{"$f":"BSAmericanApprox(E6,C6,C7,C8,C9,C10,C11)","v":10.903552034689861}]
[]
[]
[null,"Dividend rate (d)",0]
[]
[]
[null,"Notice that b = r - d"]

{"sheet":"3) BlackScholes","index":2,"n_rows":21,"n_cols":6,"rows_kept":21,"cut":false,"hidden":false,"merged":[]}
["The generalized Black and Scholes option pricing formula"]
[]
[]
[]
[]
[null,"Asset price ( S )",146,null,{"$f":"IF(E7=1,\"c\",\"p\")","v":"c"}]
[null,"Strike price ( X )",161,null,1]
[null,"Time to maturity ( T )",2,null,"Call"]
[null,"Risk-free rate ( r )",2.4E-2,null,"Put"]
[null,"Cost of carry ( b )",{"$f":" C9-F15","v":2.4E-2}]
[null,"Volatility ( s )",0.17]
[null,"Value",{"$f":"GBlackScholes(E6,C6,C7,C8,C9,C10,C11)","v":10.903552034689861}]
[]
[null,"Option sensitivities"]
[null,"Delta D",{"$f":"GDelta(E6,C6,C7,C8,C9,C10,C11)","v":0.46536623217862005},null,"Dividend rate (d)",0]
[null,"Elasticity L",{"$f":"C15*C6/C12","v":6.2313152339636728}]
[null,"Gamma G",{"$f":"GGamma(C6,C7,C8,C9,C10,C11)","v":1.1322767916429229E-2}]
[null,"Vega",{"$f":"GVega(C6,C7,C8,C9,C10,C11)","v":82.061081108245858},null,"Notice that b = r - d"]
[null,"Theta Q",{"$f":"GTheta(E6,C6,C7,C8,C9,C10,C11)","v":-4.8565539758217771}]
[null,"Rho r",{"$f":"GRho(E6,C6,C7,C8,C9,C10,C11)","v":114.07983572677733}]
[null,"Carry",{"$f":"GCarry(E6,C6,C7,C8,C9,C10,C11)","v":135.88693979615707}]