Question
Consider an American put option. Suppose its stock price is $50 and its strike price is $52. If the risk-free rate is 7% per annum
Consider an American put option. Suppose its stock price is $50 and its strike price is $52. If the risk-free rate is 7% per annum with continuous compounding, the volatility is 32%, and the life of the option is 2 years and there are two time steps, what is the value of this American put option?
$6.50
$2.50
$7.50
$5.50
$8.50
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Multinational Business Finance
Authors: David K. Eiteman, Arthur I. Stonehill, Michael H. Moffett
14th edition
133879879, 978-0133879872
