Question
A stock price is currently ksh40. Over each of the next two 3 months period it is expected to go up by 10% or down
A stock price is currently ksh40. Over each of the next two 3 months period it is expected to go up by 10% or down by10%.the risk free rate is 12% per annum with continuous compounding.suppose the volatility is 9.53% and v is 0.25
a.what is the value of 6 month European put option with a strike price of ksh42
b.what is the value of a 6 months American call option with a strike price of ksh42
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Financial Markets And Institutions
Authors: Frederic S. Mishkin, Stanley G. Eakins
7th Edition
013213683X, 978-0132136839
