Question
Let S = $65, r = 3% (continuously compounded), d = 4%, s = 40%, T = 1. In this situation, the appropriate values of
Let S = $65, r = 3% (continuously compounded), d = 4%, s = 40%, T = 1. In this situation, the appropriate values of u and d are 1.32028 and 0.74988, respectively. Using a 2-step binomial tree, calculate the value of a $55-strike American call option.
| a. | $15.353 | |
| b. | $15.272 | |
| c. | $14.396 | |
| d. | $14.899 | |
| e. | $15.124 |
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Fundamentals Of Futures And Options Markets
Authors: John Hull
9th Global Edition
1292422114, 9781292422114
