Question
A stock is currently priced at $40.It is known that at the end of one month it will be either $38 or $42.The risk-free rate
A stock is currently priced at $40.It is known that at the end of one month it will be either $38 or $42.The risk-free rate is 0.67% per month.The current value of a European call option with an exercise price of $39 is closest to
(This can be solved as a 1-period BOPM)
$1.69
$0.54
$0.27
$1.10
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Financial Management Principles and Applications
Authors: Sheridan Titman, Arthur J. Keown, John H. Martin
13th edition
134417216, 978-0134417509, 013441750X, 978-0134417219
