Binomial Model There is a European put option on a stock that expires in two months. The

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Binomial Model There is a European put option on a stock that expires in two months. The stock price is $73, and the standard deviation of the stock returns is 70 percent. The option has a strike price of $80, and the risk-free interest rate is a 5 percent annual percentage rate. What is the price of the put option today using one-month steps?

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Corporate Finance With Connect Access Card

ISBN: 978-1259672484

10th Edition

Authors: Stephen Ross ,Randolph Westerfield ,Jeffrey Jaffe

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