Question
A stock is currently selling for $100. The continuously compounded riskfree rate is 11%. The continuously compounded dividend yield is 3%. The volatility of the
A stock is currently selling for $100. The continuously compounded riskfree rate is 11%. The continuously compounded dividend yield is 3%. The volatility of the stock according to the Black-Scholes framework is 30%. Find the new stock prices along a path based on the uniformly distributed random numbers: 0.12, 0.87, and 0.50, given that T = 1 year. That is, find S1/3 , S 2/3 , and S1.
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The Analysis And Use Of Financial Statements
Authors: Gerald I. White, Ashwinpaul C. Sondhi, Haim D. Fried
3rd Edition
0471375942, 978-0471375944
