Question
A stock has = 0.30 and a current value of $36. A European put option on this stock has a strike price of $40 and
A stock has = 0.30 and a current value of $36. A European put option on this stock has a strike price of $40 and expiration is in 5 months. The interest rate is an APR of 8% compounded monthly. Find the value of this put using a binomial model with 1-month intervals. What if the option is an American put with the same parameters?
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Analysis For Financial Management
Authors: Robert Higgins
7th Edition
0072863641, 9780072863642
