; ----------------------------------------------------------------- ; EBook xlg ; ----------------------------------------------------------------- ; See_also IBTdk volafunc ; ----------------------------------------------------------------- ; Macro XLGfindex16 ; ----------------------------------------------------------------- ; Description Shows the stock price implied binomial tree, the ; transition probability tree and the Arrow-Debreu price tree. ; ----------------------------------------------------------------- library("finance") proc(sigma)=volafunc(K, S, time) sigma=0.1+(S-K)/S/10*0.5 endp r=0.03 ; annualized risk-free interest rate S=100 ; underlying asset price lev=4 ; number of time steps expiration=1 ; annualized time to expiration ibtree=IBTdk(S,r,lev,expiration,"volafunc") ibtree