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Let S = $45, r = 3% (continuously compounded), d = 1%, s = 40%, T = 1.5. In this situation, the appropriate values of
Let S = $45, r = 3% (continuously compounded), d = 1%, s = 40%, T = 1.5. In this situation, the appropriate values of u and d are 1.43535 and 0.71791, respectively. Using a 2-step binomial tree, calculate the value of a $55-strike American put option.
Correct d. $14.999
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Financial Management
Authors: Rajiv Srivastava, Anil Misra
2nd Edition
0198072074, 9780198072072
