A 3-month American call option on a stock has a strike price of $20. The stock price is $20, the risk-free rate is 3% per
A 3-month American call option on a stock has a strike price of $20. The stock price is $20, the risk-free rate is 3% per annum, and the volatility is 25% per annum. A dividend of $1 per share is expected at the end of the second month. Use a three-step binomial tree to calculate the option price.
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Authors: David Hartzell, Andrew E. Baum
2nd Edition
1119526094, 978-1119526094
