Question
A stock price is currently $35. At the end of six months, it will be either $41 or $31. The risk-free interest rate is 5%.
A stock price is currently $35. At the end of six months, it will be either $41 or $31. The risk-free interest rate is 5%.
Use the no-arbitrage binomial method to calculate the value of a 6-month European call option on the stock with strike price $33.
Calculate the same option value using the risk-neutral method
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Financial Accounting A Focus On Interpretation And Analysis
Authors: Richard F Kochanek, A Douglas Hillman
7th Edition
1111061750, 9781111061753
