Question
Let S = $45, r = 8% (continuously compounded), d = 5%, s = 40%, T = 2. In this situation, the appropriate values of
| Let S = $45, r = 8% (continuously compounded), d = 5%, s = 40%, T = 2. In this situation, the appropriate values of u and d are 1.53726 and 0.69073, respectively. Using a 2-step binomial tree, calculate the value of a $35-strike European call option. | |||||||||||||
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Globalization Gating And Risk Finance
Authors: Unurjargal Nyambuu, Charles S. Tapiero
1st Edition
1119252652, 978-1119252658
