Question
Consider a European call option on a non-dividend-paying stock where the stock price is $118, the strike price is $118, the risk-free rate is 10%
Consider a European call option on a non-dividend-paying stock where the stock price is $118, the strike price is $118, the risk-free rate is 10% per annum, the volatility is 16% per annum, and the time to expiration is one year. In the binomial model with one-step, what is the risk-neutral probability of an upward move?
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International Finance Exchange Rates And Financial Flows In The International Financial System
Authors: Heather D. Gibson
1st Edition
0582218128, 978-0582218123
