You are given the following information on a CallOnPut option: (i) The continuously compounded risk-free rate is 5.5% an

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You are given the following information on a CallOnPut option: (i) The continuously compounded risk-free rate is 5.5% an

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You Are Given The Following Information On A Callonput Option I The Continuously Compounded Risk Free Rate Is 5 5 An 1
You Are Given The Following Information On A Callonput Option I The Continuously Compounded Risk Free Rate Is 5 5 An 1 (62.14 KiB) Viewed 30 times
You are given the following information on a CallOnPut option: (i) The continuously compounded risk-free rate is 5.5% and the stock does not pay dividends. (ii) The strike price of the underlying option is 43 (iii) The strike price of the compound option is 3 (iv) The compound option expires in 1 year. (v) The underlying option expires 1 year after the compound option. (vi) The underlying option is American. (vii) The volatility of the stock is 13%. The current stock price is 40. The stock price follows the binomial models, with 24 periods, each of length 1 month. Calculate the value of the compound option.
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