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A stock price is currently $52. Its volatility is 35% p.a. . The risk-free interest rate is 8% p.a. with continuous compounding. What is the
A stock price is currently $52. Its volatility is 35% p.a. . The risk-free interest rate is 8% p.a. with continuous compounding.
- What is the value of a 2-year European call option with a strike price of $55, using a 2-step binomial tree?
- Without doing any calculations, explain what would happen to the value of the option if the stock volatility decreases.
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Handbook Of The Economics Of Finance Volume 2A
Authors: George M. Constantinides, Milton Harris, Rene M. Stulz
1st Edition
0444535942, 978-0444535948
