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 terminal payoff of the option when the stock price is 18.769 in a 3-step binomial tree?
| A. | 0 | |
| B. | 13.931 | |
| C. | 10.204 | |
| D. | 31.231 |
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Parimutuel Applications In Finance New Markets For New Risks
Authors: Ken Baron, Jeffrey Lange
1st Edition
1403939500, 9781403939500
