Question
CASE 2. The current price of a stock is $72, the volatility is 0.22 and the continuously-compounded risk-free rate is 4%. The stock does not
CASE 2.
The current price of a stock is $72, the volatility is 0.22 and the continuously-compounded risk-free rate is 4%. The stock does not pay any dividends. You want to price a call and a put option with strike price of 70 and three months to maturity on this stock.
Use one-step binomial tree model. Write your answers in four decimal places.
The value of u is
The value of dS0 is
The value of Cu is
The value of Cd is
The value of c is
The value of Bc is
The price of a call option C is
The value of Pu is
The value of Pd is
The value of p is
The pseudo-probability P* for the call option is
The price of the put option P is
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American Public School Finance
Authors: William A. Owings, Leslie S. Kaplan
3rd Edition
113849996X, 978-1138499966
