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Consider a European call option on a non-dividend-paying stock where the stock price is $40, the strike price is $40, the risk-free rate is 2.6%
Consider a European call option on a non-dividend-paying stock where the stock price is $40, the strike price is $40, the risk-free rate is 2.6% per annum, the volatility is 17% per annum, and the time to maturity is six months. Calculate the value of the risk-neutral probability, p
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Pricing And Hedging Financial Derivatives A Guide For Practitioners
Authors: Leonardo Marroni, Irene Perdomo
1st Edition
1119953715, 978-1119953715
