S_0

Kappa
Variance

100
0.4
1

Trinomial model
-1
0
1

Permanent Impact
0
1
2
3
4
5
6
7
8
9
10

0.2
0.6
0.2

Top Row
0
1
Bottom Row
-1
0

Time
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110

10
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

1
1.6
2.2
2.8
3.4
4
4.6
5.2
5.8
6.4
7
7.6
8.2
8.8
9.4
10
10.6
11.2
11.8
12.4
13
13.6

2
6.8
8
9.2
10.4
11.6
12.8
14
15.2
16.4
17.6
18.8
20
21.2
22.4
23.6
24.8
26
27.2
28.4
29.6
30.8

3
15.6
17.4
19.2
21
22.8
24.6
26.4
28.2
30
31.8
33.6
35.4
37.2
39
40.8
42.6
44.4
46.2
48
49.8
51.6

0.6
0.4

0.4
0.6

4
23.2
25.6
28
30.4
32.8
35.2
37.6
40
42.4
44.8
47.2
49.6
52
54.4
56.8
59.2
61.6
64
66.4
68.8
71.2

5
35
38
41
44
47
50
53
56
59
62
65
68
71
74
77
80
83
86
89
92
95

6
49.2
52.8
56.4
60
63.6
67.2
70.8
74.4
78
81.6
85.2
88.8
92.4
96
99.6
103.2
106.8
110.4
114
117.6
121.2

Temporary Impact (Rs. Per share)

0
0
1
6
2
9
3
12
4
13
5
15
6
17
7
19
8
21
9
23
10
25

0
0
1
1
2
2
3
3
4
4
5

7
65.8
70
74.2
78.4
82.6
86.8
91
95.2
99.4
103.6
107.8
112
116.2
120.4
124.6
128.8
133
137.2
141.4
145.6
149.8

8
84.8
89.6
94.4
99.2
104
108.8
113.6
118.4
123.2
128
132.8
137.6
142.4
147.2
152
156.8
161.6
166.4
171.2
176
180.8

9
106.2
111.6
117
122.4
127.8
133.2
138.6
144
149.4
154.8
160.2
165.6
171
176.4
181.8
187.2
192.6
198
203.4
208.8
214.2

10
130
136
142
148
154
160
166
172
178
184
190
196
202
208
214
220
226
232
238
244
250

=($B42-$D$1+VLOOKUP(P42,$L$2:$M$12,2,FALSE))*P42*(1-$D$2)+$D$3*$C$39*C$40*$D$2+$G$2* INDIRECT(ADDRESS(ROW(C18)1+VLOOKUP(P42,$I$2:$J$12,2,FALSE),COLUMN(C$40)P42))+$G$3*INDIRECT(ADDRESS(ROW(C18)+VLOOKUP(P42,$I$2:$J$12,2,FALSE),COLUMN(C$40)P42))+$G$4*INDIRECT(ADDRESS(ROW(C18)+1+VLOOKUP(P42,$I$2:$J$12,2,FALSE),COLUMN(C$40)-P42))
Time
9
0
1
2
3
4
5
6
7
8
9
10
90
0
1.2
6
12.04
20.44
28.24
38.48
49.88
63.72
76.36
92.56
91
0
1.8
7.2
13.6
22.6
31
41.6
53.6
67.8
80.8
97.6
92
0
2.4
8.4
15.4
25
34
45.2
57.8
72.6
86.2
103.6
93
0
3
9.6
17.2
27.4
37
48.8
62
77.4
91.6
109.6
94
0
3.6
10.8
19
29.8
40
52.4
66.2
82.2
97
115.6
95
0
4.2
12
20.8
32.2
43
56
70.4
87
102.4
121.6
96
0
4.8
13.2
22.6
34.6
46
59.6
74.6
91.8
107.8
127.6
97
0
5.4
14.4
24.4
37
49
63.2
78.8
96.6
113.2
133.6
98
0
6
15.6
26.2
39.4
52
66.8
83
101.4
118.6
139.6
99
0
6.6
16.8
28
41.8
55
70.4
87.2
106.2
124
145.6
100
0
7.2
18
29.8
44.2
58
74
91.4
111
129.4
151.6
101
0
7.8
19.2
31.6
46.6
61
77.6
95.6
115.8
134.8
157.6
102
0
8.4
20.4
33.4
49
64
81.2
99.8
120.6
140.2
163.6
103
0
9
21.6
35.2
51.4
67
84.8
104
125.4
145.6
169.6
104
0
9.6
22.8
37
53.8
70
88.4
108.2
130.2
151
175.6
105
0
10.2
24
38.8
56.2
73
92
112.4
135
156.4
181.6
106
0
10.8
25.2
40.6
58.6
76
95.6
116.6
139.8
161.8
187.6
107
0
11.4
26.4
42.4
61
79
99.2
120.8
139.6
159.72
176.56
108
0
12
27.6
44.2
63.4
79.16
96.4
116.52
124.96
132.72
140.24
109
0
12.6
28.8
43.16
60.4
73.52
80.56
88.32
95.84
104.2
113.04
110
0
13.2
30
39.04
49.52
61.44
72.88
80.4
84
87.6
91.2