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?
| A. | 0.721 | |
| B. | 0.892 | |
| C. | 0.924 | |
| D. | 0.605 |
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International Finance For Non Financial Managers
Authors: Dora Hancock
1st Edition
0749480017, 9780749480011
