The SP_PutOption.xls Model

Stochastic Programming Version of an American Put Option

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The holder of the option has the right to sell a specified stock at any time(the American feature) between now and a specified expiration date at a specified strike price.
The holder makes a profit in the period of exercise if the strike price exceeds the market price of the stock at the time of sale.
Money is borrowed at the risk free rate.

Keywords:

Stochastic Programming | Options | Put Option |