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Exercise 2.1 Binomial Model Consider the following economic inputs: S = 100; K=100; Rp = 3%; 0 = = 20%; T = 2 Year Semi-annual
Exercise 2.1 Binomial Model Consider the following economic inputs: S = 100; K=100; Rp = 3%; 0 = = 20%; T = 2 Year Semi-annual time steps (4 Time Steps) $2 Dividend paid in 6 months if S>100 $2.50 Dividend paid in 18 months if S>100 Calculate the following: European and American Value of a Put option? Options sensitivity to a 1% change in the stock? Options sensitivity to a 1% change in the risk-free rate? Exercise 2.1 Binomial Model Consider the following economic inputs: S = 100; K=100; Rp = 3%; 0 = = 20%; T = 2 Year Semi-annual time steps (4 Time Steps) $2 Dividend paid in 6 months if S>100 $2.50 Dividend paid in 18 months if S>100 Calculate the following: European and American Value of a Put option? Options sensitivity to a 1% change in the stock? Options sensitivity to a 1% change in the risk-free rate
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