Question
A stock price is currently $50. It is known that at the end of 6 months it will be either $45 or $55. The risk-free
A stock price is currently $50. It is known that at the end of 6 months it will be either $45 or $55. The risk-free interest rate is 10% per annum with continuous compounding. What is the value of a 6-month European put option with a strike price of $50?
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Green And Sustainable Finance
Authors: Simon Thompson
2nd Edition
1398609242, 978-1398609242
