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 gross rate of stock when it goes down considering a three-step binomial tree?
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
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