Construct and apply an arbitrage argument to price a call option on a zero-coupon security using rep

[dbansal]

Hello,

On page 8 of the formula sheet there is an example for the aim Construct and apply an arbitrage argument to price a call option on a zero-coupon security using replicating portfolios.. I was wondering if there is a .xls that I can access to see how all the numbers were derived?

Thanks!

 

[David Harper CFA FRM]

Hi @dbansal it's a safe bet that it's among Tuckman's (R39) learning spreadsheets, but here a copy (2nd of 3 sheets, I copied you the cluster just in case) https://www.dropbox.com/s/n3y6s495x0yvca9/1101-tuckman-replication.xlsx?dl=0