Question
A stock price is currently $20. It is known that in three months it will go up to 22 or down to 18. The risk-free
A stock price is currently $20. It is known that in three months it will go up to 22 or down to 18. The risk-free interest rate is 6% per annum with continuous compounding. What is p (the
risk-neutral probability of an up movement)
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Mathematics Of Finance
Authors: Robert Brown, Petr Zima
2nd Edition
0071756051, 9780071756051
