Question
A non-dividend paying stock currently trades for$50 and has an annualised return volatility (Standard deviation) of 20%. Given that the continuously compounded risk-free rate of
A non-dividend paying stock currently trades for$50 and has an annualised return volatility (Standard deviation) of 20%. Given that the continuously compounded risk-free rate of return is 4% p.a.
Using a two-step binomial tree, price the European put option on the stock when the put has an exercise price of $55 and 3 months to maturity.
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International Financial Reporting And Analysis
Authors: David Alexander, Ann Jorissen, Martin Hoogendoorn
8th Edition
978-1473766853, 1473766850
