22. American options (S22-4) The current price of the stock of Mont Tremblant Air is C$100. During...

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22. American options (S22-4) The current price of the stock of Mont Tremblant Air is C$100.

During each six-month period, it will either rise by 11.1% or fall by 10% (equivalent to an annual standard deviation of 14.9%). The interest rate is 5% per six-month period.

a. Calculate the value of a one-year European put option on Mont Tremblant’s stock with an exercise price of C$102.

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Principles Of Corporate Finance

ISBN: 9781264080946

14th Edition

Authors: Richard Brealey, Stewart Myers, Franklin Allen, Alex Edmans

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