Question
1. Consider a two-period binomial model, where each period is 6 months. Assume the stock price is $50.00, sigma= 0.20, r = 0.06 and the
1. Consider a two-period binomial model, where each period is 6 months. Assume the stock price is $50.00, sigma= 0.20, r = 0.06 and the dividend yield = 3.5%. What is the lowest strike price where early exercise would occur with an American put option? ANS: 60 SHOW DETAILS
2. What is the maximum approximate strike price where early exercise would occur with an American put option?
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Public Finance In A Changing World
Authors: Peter Birch Sorensen
1998th Edition
0333682211, 978-0333682210
