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The volatility (sigma) of a stock is 54% per annum. We will model stock-price movements using a Binomial tree, where each branch of the
The volatility (sigma) of a stock is 54% per annum. We will model stock-price movements using a Binomial tree, where each branch of the tree has a step length (delta t) of 3 months. Calculate the proportion up movement (u) that applies to each branch of the tree. Your answer should have at least two decimal places. Answer:
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Intermediate Accounting
Authors: J. David Spiceland, James Sepe, Mark Nelson, Wayne Thomas
10th edition
1260481956, 1260310175, 978-1260481952
