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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 1.7%
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 1.7% per annum, the volatility is 25% per annum, and the time to maturity is six months. Calculate the value of the risk-neutral probability, p
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Mathematical Finance Core Theory Problems And Statistical Algorithms
Authors: Nikolai Dokuchaev
1st Edition
0415414482, 978-0415414487
