Question
Binomial Model Variables U 1.15 D 0.90 Index price PKR720 Strike price PKR750 Hedge ratio 0.5697 Interest rate 3% Calculate the price investor paid two
| Binomial Model Variables |
|
| U | 1.15 |
| D | 0.90 |
| Index price | PKR720 |
| Strike price | PKR750 |
| Hedge ratio | 0.5697 |
| Interest rate | 3% |
Calculate the price investor paid two years ago for call option with strike price of PKR750 using the binomial valuation method and the data above.
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Intermediate Financial Theory
Authors: Jean-Pierre Danthine, John B. Donaldson
3rd Edition
0123865492, 9780123865496
