Question
A stock is selling for $18.50. The possible stock prices at the end of 6 months are $22.50 and $15.00. Interest rate is 6.0% and
A stock is selling for $18.50. The possible stock prices at the end of 6 months are $22.50 and $15.00. Interest rate is 6.0% and dividend yield is 0%. Construct a replicating portfolio of stock and bond for a $20-strike 6-month maturity call option.
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Introduction To Derivatives And Risk Management
Authors: Don M. Chance, Robert Brooks
10th Edition
130510496X, 978-1305104969
