Calculation of a European put using the numerical method of CRR (1979). (S = 91.5; X=102, rf = 0.04; T= 6/12; sigma = 0.30; n
Calculation of a European put using the numerical method of CRR (1979). (S = 91.5; X=102, rf = 0.04; T= 6/12; sigma = 0.30; n = 200) Compare with the formula of Black & Scholes (1973). Redo your calculations with two dividends D1 = 0.67 and D2 =0.68 for t1 = 2/12 and t2 = 5/12
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Authors: William O. Cleverley, James O. Cleverley, Paula H. Song
7th Edition
0763789291, 978-0763789299
