Question
A stock price is currently $40. It is known that at the end of 1 month it will be either $42 or $38. The risk-free
A stock price is currently $40. It is known that at the end of 1 month it will be either $42 or $38. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a 1-month European call option with a strike price of $39?
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Financial Modeling Using Excel And VBA
Authors: Chandan Sengupta
1st Edition
0471267686, 978-0471267683
