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A non-dividend paying stock currently trades for $22 and has an annualised return standard deviation of 25%. Given that the continuously compounded risk-free rate of
A non-dividend paying stock currently trades for $22 and has an annualised return standard deviation of 25%. Given that the continuously compounded risk-free rate of return is 6% p.a., complete the following: a. Using a two-step binomial tree, price the American call option on the stock when the call has an exercise price of $26 and 6 months to maturity
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