Question
An investor has to sell ABC in 4 month. He hedges his position against adverse evolution of ABC by using American 205 strike-option. The spot
| An investor has to sell ABC in 4 month. He hedges his position against adverse evolution of ABC by using American 205 strike-option. |
| The spot price of ABC=200, its volatility=20%, dividend at rate 1.5% is paid till the maturity. |
| The risk-free CCIR=2%. Determine this option premium by using 2 period binomial method. |
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The Wall Street Journal Complete Personal Finance Guidebook
Authors: Jeff D. Opdyke
1st Edition
030733600X, 978-0274804573
