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5. (20 points) Use the following parameters: So = 100, K = 101, r = 0.05, T=0.5, = 0.3, no dividend is paid. Use
5. (20 points) Use the following parameters: So = 100, K = 101, r = 0.05, T=0.5, = 0.3, no dividend is paid. Use the Black-Scholes pricing formula given in class to price the European call option. Can you compare it to the result from a binomial tree? You can set At: 0.25 and use a two period binomial tree. =
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Market Practice In Financial Modelling
Authors: Tan Chia Chiang
1st Edition
9814366544, 978-9814366540
