A stock is currently trading at $50; its annual volatility is 0.40, the risk-free interest rate is 15% per annum with co
Posted: Wed May 18, 2022 11:25 pm
A stock is currently trading at $50; its annual volatility is
0.40, the risk-free interest rate is 15% per annum with continuous
compounding, and Δt is equal to three months. Use the binomial tree
model to answer the following questions: ( show working
out)
i. Calculate the price of a 6-month European put option with an
exercise price of $105 written on this stock.
0.40, the risk-free interest rate is 15% per annum with continuous
compounding, and Δt is equal to three months. Use the binomial tree
model to answer the following questions: ( show working
out)
i. Calculate the price of a 6-month European put option with an
exercise price of $105 written on this stock.