Question
1)Consider a six month put option on a stock with a strike price of $32. The current stock price is $30 and over the next
1)Consider a six month put option on a stock with a strike price of $32. The current stock price is $30 and over the next six months it is expected to rise to $36 or fall to $27. The risk free rate is 6%.
a)What is the risk neutral probability p?
b)What is the hedge ratio of the put option?
Show work please
c)What is the put price?
Please show work
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ISE Real Estate Finance And Investments
Authors: Jeffrey Fisher William B. Brueggeman
17th International Edition
1264892888, 9781264892884
