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Assume that IBM stock S is currently 75, the interest rate r = 1%; and that you are short a call option that expires in
Assume that IBM stock S is currently 75, the interest rate r = 1%; and that you are short a call option that expires in one year with strike price K = 80. Construct a one step binomial tree with u = 1.1 and d = 0.9: What is the value of IBM stock at S(1; 1):
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Derivative Pricing
Authors: Ambrose Lo
1st Edition
0367734214, 978-0367734213
