Question
Consider a stock with current price S=100 and standard deviation of annual returns =20%. Consider a 1-year European call option on this stock with strike
Consider a stock with current price S=100 and standard deviation of annual returns =20%. Consider a 1-year European call option on this stock with strike price of $95. The risk-free interest rate is 6%. c) Using Excel, find the value of this option using Cox-Ross-Rubenstein 10-step binomial option pricing model.
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Finance For Nonfinancial Managers
Authors: Gene Siciliano
2nd Edition
0071824367, 978-0071824361
