Question
A stock price is currently $65. After each 6 month, the price is expected to go up by or down with the volatility of 25%.
A stock price is currently $65. After each 6 month, the price is expected to go up by or down with the volatility of 25%. The risk-free rate interest rate is 7% per annum with continuous compounding. Questions: a)What will be the risk-neutral probability of an up move-p? b) Please draw a tree describing the behavior of the stock price c)What is the value of 6 months European call option with the Strike Price of 65$
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Financial Accounting An Integrated Statements Approach
Authors: Jonathan E. Duchac, James M. Reeve, Carl S. Warren
2nd Edition
324312113, 978-0324312119
