Question
A Binomial tree has a branch length of four months (delta t = 0.3333). If the proportional up and down movements are u = 1.2029
A Binomial tree has a branch length of four months (delta t = 0.3333). If the proportional up and down movements are u = 1.2029 and d = 0.8313 respectively, what is the volatility (sigma) of the underlying asset?
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International Finance
Authors: Maurice D Levi
5th Edition
0415774594, 9780415774598
