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Given the stock price follows the binomial tree below. 98 70 50 42 30 18 . You are given the following details: Each period in
Given the stock price follows the binomial tree below. 98 70 50 42 30 18 . You are given the following details: Each period in binomial tree is 1 year. Annual risk-free interest rate, r = 0.05, compounded continuously. Annual dividend yield, S=0.028. Let A be the price of a 2-year down-and-in barrier put option with barrier 35 and strike price 45. Assuming this option is priced via this binomial tree, determine A. (8 marks) Given the stock price follows the binomial tree below. 98 70 50 42 30 18 . You are given the following details: Each period in binomial tree is 1 year. Annual risk-free interest rate, r = 0.05, compounded continuously. Annual dividend yield, S=0.028. Let A be the price of a 2-year down-and-in barrier put option with barrier 35 and strike price 45. Assuming this option is priced via this binomial tree, determine A. (8 marks)
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