Question
A stock in the one-period binomial model has the following parameters over a three month period (interest rates are continuous annual rates): S 0 =
A stock in the one-period binomial model has the following parameters over a three month period (interest rates are continuous annual rates):
S0 = 105
Su = 127
Sd = 94
r = 0.08
= 0.01
What is the risk-neutral probability of the stock price increasing in three months? Round your response to four decimal places.
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Monetary Policy And Public Finance
Authors: G. C. Hockley
1st Edition
1138704792, 978-1138704794
