Question
Consider a two period (t=0,1,2) binomial model with u=1.2 , d=0.9, continuously compounded interest rate r=4.879%, and S=100. The stock will pay no dividends. a.
Consider a two period (t=0,1,2) binomial model with u=1.2 , d=0.9, continuously compounded interest rate r=4.879%, and S=100. The stock will pay no dividends.
a. What are the values of European call and put options with strike prices of $115 expiring at time 1?
b. What are the values of European call and put options with strike prices of $115 expiring at time 2?
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Investments
Authors: Zvi Bodie, Alex Kane, Alan Marcus, Stylianos Perrakis, Peter
8th Canadian Edition
007133887X, 978-0071338875
