百慕大期权二叉树excel定价求解，详细求解

百慕大期权如何用二叉树在excel中求解？！！？？！？？！？！？

1.   A Bermuda option is a type of option that a buyer canexercise the option only on predetermined dates. Consider a Bermudan put optionon a non-dividend paying stock where the stock price is $50, the strike priceis $40, the risk-free rate is 4% per annum with continuous compounding, thevolatility is 40% per annum, the time-to-maturity is 6 months and the predetermineddates are every two months.

a.   Calculate u, d, and p for a seven-step binomial tree.

b.   Value the option using a seven-step binomial tree.  

Discusshow to improve the accuracy

原题求解！！！悲剧啊，弄了一天没搞明白怎么弄！！！求高手！！

电脑没excel, 用google spreadsheet 做的，楼主看看能不能打开
binomial tree 用的CRR model
要想增加精确度就是增加更多的step就行了，好像error是O(delta t)

tangzq1206 发表于 2013-5-2 14:51
电脑没excel, 用google spreadsheet 做的，楼主看看能不能打开
binomial tree 用的CRR model
要想增加精确 ...

Many thanks! 我刚刚用pad浏览了一下，等我回去用电脑看。这个文档中有显示公式么？另外e是代表euroupean option？