π =
Rf −d
u−d= 1,12−0,8
1,6−0,8
=0,4
Cuu =max[uuS−K,0] =max[ 768 − 330 ; 0 ] = 438
Cud= max[udS−K,0] =max[ 384 − 330 ; 0 ] = 54
Cdd =max[ddS−K,0]= max[ 192 − 330 ; 0 ]= 0
Cu=^1
Rf (
πCuu+( 1 −π)Cud)=^1
1,12 (0,4× 438 +0,6× (^54) )= 185,358
Cd=
1
Rf (πCud+( 1 −π)Cdd)=1
1,12 (
0,4× 54 +0,6× (^0) ) =19,286
C=
1
Rf(πCu+( 1 −π)Cd)=1
1,12 (
0,4×20,148+0,6×19,286) =76,532
h 1 = Cuu−Cud
(u−d)×uS
=^438 −^54
(1,6−0,8)×^480
= 1 ;
h 2 = Cud−Cdd
(u−d)×dS
=^54 −^0
(1,6−0,8)×^240
= 0,282 ;
h 3 =
Cu−Cd
(u−d)×S