Consider a stock with current price S=100 and standard deviation of annual returns =30%. Stock does not
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Question:
Consider a stock with current price S=100 and standard deviation of annual returns σ=30%. Stock does not pay any dividends. Consider a 1-year European call option on this stock with a strike price of $95. The risk-free interest rate is 8%.
a) Find the value of this option using Cox-Ross-Rubenstein 2-step binomial option pricing model.
Related Book For
Management Science The Art of Modeling with Spreadsheets
ISBN: 978-1118582695
4th edition
Authors: Stephen G. Powell, Kenneth R. Baker
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