Question
A stock price is currently Ksh40. Over each of the next two 3-month periods it is expected to go up by 10% or down by
A stock price is currently Ksh40. Over each of the next two 3-month periods it is expected to go up by 10% or down by 10%. The risk-free interest rate is 12% per annum with continuous compounding. Suppose that the volatility is 9.53% and is 0.25.
- What is the value of a 6-month European put option with a strike price of Ksh42? (5 marks)
ii. What is the value of a 6-month American call option with a strike price of Ksh42
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Financial Management For Nurse Managers And Executives
Authors: Cheryl Jones, Steven A. Finkler, Christine T. Kovner
4th Edition
1455700886, 9781455700882
