Question
A stock price is currently $50. It is known that at the end of 2 months it will be either $48 or $53. The arbitrage-free
A stock price is currently $50. It is known that at the end of 2 months it will be either $48 or $53. The arbitrage-free price of a 2 month European call on this stock (with a strike of $49) is $1.92. What is the annual volatility of the price of the stock?
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The Doctrine Of Equivalents Or An Explanation Of The Nature Value And Power Of Money
Authors: George Craufurd
1st Edition
054833952X, 9780548339527
