Question
Given the maturity of an American put option 2 years, riskfree rate 10%, volatility of the stock 40%, current spot price of stock $50, strike
Given the maturity of an American put option 2 years, riskfree rate 10%, volatility of the stock 40%, current spot price of stock $50, strike price $50, what is the one-step risk neutral probability that stock price goes down considering a three-step binomial tree?
| A. | 0.201 | |
| B. | 0.452 | |
| C. | 0.910 | |
| D. | 0.523 |
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Private Equity Value Creation Analysis Volume I
Authors: Michael David Reinard
1st Edition
1736077821, 978-1736077825
