Question
A stock price is currently $100. Over each of the next two 2-month periods it is expected to go up or go down with up-factor
A stock price is currently $100. Over each of the next two 2-month periods it
is expected to go up or go down with up-factor u and down-factor d. The risk-free interest
rate is 6% per annum with continuously compounding. Consider a 4-month American put
option with a strike price of K.
Find the price of this American put option
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Introductory Financial Accounting for Business
Authors: Thomas Edmonds, Christopher Edmonds
1st edition
1260299449, 978-1260299441
