Question
7. A firms stock sells at $40. The price will be either $35 or $47 three months from now. Assume the risk-free rate is 12%
7. A firms stock sells at $40. The price will be either $35 or $47 three months from now. Assume the risk-free rate is 12% per annum with continuous compounding. a) What is the call price with a strike price of $43 and a maturity of 3 months? b) What is the put price with a strike price of $43 and a maturity of 3 months?
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Guardians Of Finance
Authors: James R. Barth, Gerard Caprio, Ross Levine
1st Edition
0262526840, 978-0262526845
