Question
A stock price is currently $42. The risk-free interest rate is APR 4% with continuous compounding. What is the value of a six-month American put
A stock price is currently $42. The risk-‐free interest rate is APR 4% with continuous compounding. What is the value of a six-‐month American put option with a strike price of $46 using two-‐step binomial option pricing model? Stock price move up by 5% or down by 7% for each three month.
a. Larger than $4.3 but less than $5.0.
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Answer TwoStep Binomial American Put Option Pricing We can solve this problem using a twostep binomial option pricing model Heres the breakdown Step 1 ...
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
