Question
A stock is currently priced at $77.00. The risk free rate is 3.2% per annum with continuous compounding. Use a one-time step Cox-Ross-Rubenstein model for
A stock is currently priced at $77.00. The risk free rate is 3.2% per annum with continuous compounding.
Use a one-time step Cox-Ross-Rubenstein model for the price of the stock in 15 months assuming the stock has annual volatility of 19.4%. Compute the price of a 15 month call option on the stock with strike $81.00.
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International Finance Transactions Policy And Regulation
Authors: Hal Scott, Anna Gelpern
20th Edition
1609303164, 978-1609303167
