Question
1. Assume you are doing a 1-period binomial lattice for a put option, you have a probability of 0.999, an up payout of 0 and
1. Assume you are doing a 1-period binomial lattice for a put option, you have a probability of 0.999, an up payout of 0 and a down payout of 100, and a discount factor of 0.985! What is the price of your put option?
2. Assume you are doing a 1-period binomial lattice for a call option, you have a probability of 0.506, an up payout of 40 and a down payout of 0, and a discount factor of 0.340! What is the price of your call option?
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Commodity Option Pricing A Practitioner's Guide
Authors: Iain J. Clark
1st Edition
1119944511, 978-1119944515
