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A stock (S=85) increases per year by u = 1.22, or declines by d = 1/u. The risk-free rate (discrete) is equal to 3% p.a.
A stock (S=85) increases per year by u = 1.22, or declines by d = 1/u. The risk-free rate (discrete) is equal to 3% p.a.
Calculate the price of an American put option with a time to maturity of two years and a strike price K = 99 by using a two-step binomial tree. Show all the calculations.
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
