Question
A stock price is currently $40. Over each of the next two 3-month periods it is expected to go up by 10% or down by
A stock price is currently $40. Over each of the next two 3-month periods it is expected to go up by 10% or down by 10%. The risk-free interest rate is 12% per annum withcontinuous compounding.
(a) What is the value of a 6-month European put option with a strike price of $42? (b) What is the value of a 6-month American put option with a strike price of $42?
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Multinational Finance
Authors: Kirt C. Butler
3rd Edition
0324177453, 978-0324177459
