The initial stock price is $100. The stock moves up each period by a factor of 1.3

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The initial stock price is $100. The stock moves up each period by a factor of 1.3 and down by a factor of 0.8. If the simple interest rate per period is 1%, what is the risk-neutral probability of an up move in the stock price?

Draw the stock price tree for three periods and find the price of a three-period European call with a strike of 105.

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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The initial stock price is $100. The stock moves up each period by a factor of 1.3

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Derivatives Principles And Practice

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