Question
Calculate the price of a 2 month at-the-money American put option on a stock with strike price $60. Assume the risk free interest rate is
Calculate the price of a 2 month at-the-money American put option on a stock with strike price $60. Assume the risk free interest rate is 10% per annum, and the stock volatility is 45% per annum. Use a binomial tree with a time interval of one month. Draw the stock price and option trees.
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Restructuring And Innovation In Banking
Authors: Claudio Scardovi
1st Edition
331940203X, 978-3319402031
