Calculating state prices

Calculating state prices.carbide.md

Calculating state prices

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cell0.js

var R   = 0.05;
var R_f = 0.02;
var V_U = 900;
var V_D = 700;
var P_0 = 800;

var P_U = ((1 + R) * P_0 - V_D)/(V_U - V_D);
var P_D = 1 - P_U;

var S_U = (P_0 - V_D/(1 + R_f))/(V_U - V_D);
var S_D = (V_U/(1 + R_f) - P_0)/(V_U - V_D);