Question
For a 1-year European put option on a stock modeled with a binomial tree: (i) The tree has 1 period. (ii) The tree is constructed
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For a 1-year European put option on a stock modeled with a binomial tree: (i) The tree has 1 period. (ii) The tree is constructed based on forward prices. (iii) The stock price is 41.
(iv) The strike price is 41. (v) The continuously compounded risk-free rate is 4.5%. (vi) The stock pays continuous dividends at the rate of 3%. (vii) = 0.2 Determine the option premium.
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Governing Global Finance
Authors: Michele Fratianni, Paolo Savona
1st Edition
1138742147, 978-1138742147
