1. Consider an at-the-money American put on a stock whose current price is S = 50. Find...

Question:

1. Consider an at-the-money American put on a stock whose current price is S = 50. Find the early exercise boundary point for t = 0.5 for a series of these puts, when T = 1, 2, 3, 4, ..., 10. Assume that the risk-free interest rate is 8 percent and that σ= 30 percent. Can you draw any conclusions from this exercise?

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question

Financial Modeling

ISBN: 9780262024822

2nd Edition

Authors: Simon Benninga

Question Posted: