Question
Calculate the price of a three-month European put option on a non-dividend-paying stock with a strike price of $50 when the current stock price
Calculate the price of a three-month European put option on a non-dividend-paying stock with a strike price of $50 when the current stock price is $50, the risk-free interest rate is 10% per annum, and the volatility is 30% per annum. What difference does it make to your calculations in Problem 15.4 if a dividend of $1.50 is expected in two months?
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Risk Management and Financial Institutions
Authors: Hull John
4th edition
1118955943, 978-1118955949
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