Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

A stocks price follows binomial process. The current prices is 8642 HUF, the historic volatility is 0,2. The call option written out on this stock

A stocks price follows binomial process. The current prices is 8642 HUF, the historic volatility is 0,2. The call option written out on this stock is available with a strike price of 8600 HUF. What will be the upside risk neutral probability, if the option matures in 1 year, the time between jumps is 6 months, and the risk free rate is 3%. Use 4 digits in case of decimal, 2 digits in case of % form of the answer.

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Public Finance

Authors: Harvey S Rosen, Ted Gayer

9th International Edition

0071267883, 9780071267885

More Books

Students also viewed these Finance questions

Question

How well do we currently work together?

Answered: 1 week ago