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Future prices of a stock are modeled with a 1-period binomial tree. You are given: The stocks current price is 40; The conitinuously compounded risk
- Future prices of a stock are modeled with a 1-period binomial tree. You are given:
- The stocks current price is 40;
- The conitinuously compounded risk free interest rate is 5%;
- The stock pays no dividends;
- and .
For a European put option, the strike price is 40 and the price is 3.12. Determine the time to expiry for this option.
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The Financial System Financial Regulation And Central Bank Policy
Authors: Thomas F. Cargill
1st Edition
1107035678, 9781107035676
