Question
A stock price is $100 now. In 1 month it can go to $110 or $90. The annual interest rate is 11% with continuous compounding.
A stock price is $100 now. In 1 month it can go to $110 or $90. The annual interest rate is 11% with continuous compounding. Using risk-free portfolios, determine the value of the one-month European put with strike price 100 and with strike price 95.
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Finance For Nonfinancial Managers
Authors: Gene Siciliano
2nd Edition
0071824367, 978-0071824361
