12.17. A stock index is currently 1,500. Its volatility is 18%. The risk-free rate is 4% per...

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12.17. A stock index is currently 1,500. Its volatility is 18%. The risk-free rate is 4% per annum

(continuously compounded) for all maturities and the dividend yield on the index is 2.5%. Calculate values for u,

d, and p when a six-month time step is used. What is the value a 12-month American put option with a strike price of 1,480 given by a two-step binomial tree.

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Fundamentals Of Futures And Options Markets

ISBN: 9780134083247

9th Edition

Authors: John Hull

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Question Posted: Jul 26, 2024 08:00 AM

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12.17. A stock index is currently 1,500. Its volatility is 18%. The risk-free rate is 4% per...

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Fundamentals Of Futures And Options Markets

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