Compute the value of an option with strike ($ 100) expiring in four months on underlying asset
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Compute the value of an option with strike \(\$ 100\) expiring in four months on underlying asset with present value by \(\$ 97\), using the binomial model. The risk-free interest rate is \(7 \%\) per year and the volatility is \(20 \%\). Assume that \(u=\frac{1}{d}\).
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Related Book For
Quantitative Finance
ISBN: 9781118629956
1st Edition
Authors: Maria Cristina Mariani, Ionut Florescu
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