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In this one-step binomial model, stock price rises to Sou or falls to Sd after 6 months. What should be the fair value of a
In this one-step binomial model, stock price rises to Sou or falls to Sd after 6 months. What should be the fair value of a put(K=$95, T-6-month)? (1) 4.7; (2) 5.9; (3) 7.1; (4) 8.3; (5) 10.8; (6) 13.4; (7) 14.9; (8) 16.4; (9) 18.0; [Conti.comp: continuously compounded] rf So K 12% p.a. (conti.comp) U 1.25 d 0.80 $100 $95
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