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Binomial: The stock price is currently $60. It is known that at the end of 3 months it will be either $66 or $54. The
Binomial: The stock price is currently $60. It is known that at the end of 3 months it will be either $66 or $54. The risk-free interest rate is 6.0% per annum with continuous compounding. What is the value of p, that is the probability of stock going up? Formula: u=SUS0d=SDS0C=Max[0,(SX)]p=(ertd)(ud) Step by Step Solution
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Financial Informatics An Information Based Approach To Asset Pricing
Authors: Dorje C Brody, Lane Palmer Hughston, Andrea Macrina
1st Edition
9811246483, 978-9811246487
