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 year with continuous compounding. What is the price of a 6-month European put with strike price 42? What is the price of a European call with the same strike and maturity?
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The Structured Credit Handbook
Authors: Arvind Rajan, Glen McDermott, Ratul Roy
1st Edition
0471747491, 978-0471747499
