Question
A stock price is currently $25. It is known that at the end of two months it will be either $23 or $27. The risk-free
A stock price is currently $25. It is known that at the end of two months it will be either $23 or $27. The risk-free interest rate is 10% per annum with continuous compounding. Suppose ST is the stock price at the end of two months. What is the value of the derivative that pays ST^
2 ?
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The Re Emergence Of Global Finance
Authors: G. Burn
1st Edition
023000198X, 978-0230001985
