Question
For a one-step binomial model the two possible expiry values of some derivative are $0 when the share price is $50, and $20 when the
For a one-step binomial model the two possible expiry values of some derivative are $0 when the share price is $50, and $20 when the share price is $10. Over the life of the derivative the return on an investment is R=1.25R=1.25. Which of the following could be true?
Group of answer choices
The derivative is a call with H0=20H0=20 and H1=0.5H1=0.5.
The derivative is a put with H0=20H0=20 and H1=0.5H1=0.5.
The derivative is a call with H0=20H0=20 and H1=0.5H1=0.5.
The derivative is a put with H0=20H0=20 and H1=0.5H1=0.5.
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How To Get Out Of Debt And Into Praise
Authors: James T. Meeks
1st Edition
0802429939,1575678314
