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["Lookback Option Price in Binomial Model"]
[]
["Stock Price",20,null,"       Enter data in yellow cells or use sample"]
["Strike Price",15,null,"       data. Outputs appear in columns B and C."]
["Rate per period",1.6438356164383562E-4]
["Periods",15]
["u",1.1000000000000001]
["d",0.7,null,"       The program calculates option prices by two methods, deterministic and Monte Carlo. The"]
["Monte Carlo Sample Size",100000,null,"    deterministic method uses an algorithm to generate all possible stock price scenarios in",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,5124.4084972941209]
[null,null,null,"   the form of a sequence of ones and zeros, one representing a 'u'  and a zero representing"]
[null,null,null,"   a 'd'. Sums Y_n of these up  through n periods represent binomial random variable values and"]
[null,null,null,"   are used to calculate S_n = S_0 * v^Y_n * d^n. The latter values are then used to calculate"]
["Fixed strike call",15.900618418231485,15.853387124838676,"   the payoff H. The expectation E*(H) is calculated by multiplying H by the probability of the"]
["Floating strike call",7.9102008538735253,7.8982728354254137,"   scenario and summing over all scenarios. This method is slower and should not be used if the"]
["Fixed strike put",4.1877771485690536,4.2015363548291162,"   number of periods exceeds 18."]
["Floating strike put",10.824719271585476,10.814350937714039,"       The Monte Carlo method uses a random number generator to obtain a stock price scenario."]
[null,null,null,"   The payoff H is obtained from the scenario as in the deterministic method. The average of these"]
[null,null,null,"   payoffs is the sample sum and is taken as an approximation of E*(H) (law of large numbers)."]

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