Question
A stock price is currently $53. At the end of 6 months, it will be either $62 or $45. The risk-free interest rate is 7%.
A stock price is currently $53. At the end of 6 months, it will be either $62 or $45. The risk-free interest rate is 7%.
Use the no-arbitrage binomial method to calculate the value of a 6-month European call option on the stock with strike price $53.
Calculate the same option value using the risk-neutral method.
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Private Funds Where And How
Authors: Dechert LLP
2018 Edition
152650300X,1526503018
