Question
A stock price is currently $50. It is known that at the end of six months it will be either $46 or $54. The risk-free
A stock price is currently $50. It is known that at the end of six months it will be either $46 or $54. The risk-free interest rate is 5% per annum with continuous compounding. What is the value of a six-month European put option with a strike price of $48? What is the value of a six-month American put option with a strike price of $48?
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Cost Benefit Analysis
Authors: Harry F. Campbell, Richard P.C. Brown
3rd Edition
1032320753, 9781032320755
