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A stock price is currently $80. It is known that at the end of four months it will be either $75 or $88. The risk
- A stock price is currently $80. It is known that at the end of four months it will be either $75 or $88. The risk free rate is 6 percent per annum with continuous compounding. What is the value of a fourmonth European put option with a strike price of $80? Use no-arbitrage arguments. What is the delta of this option and what does delta represent in this setting?
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Principles Of Finance With Excel
Authors: Simon Benninga
2nd Edition
0199755477, 9780199755479
