Question
Shares of JPM are currently trading at $115. The yearly volatility of JPM is such that every quarter the stock can move by a factor
Shares of JPM are currently trading at $115. The yearly volatility of JPM is such that every quarter the stock can move by a factor of 1.2 (up) or 0.82 (down). The annualized risk-free rate is 2%. Using a 3-step binomial tree approach, get the prices of the following options with 9 months to maturity and strike price of $110.
a. European put option
b. European call option
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The Theory And Practice Of Investment Management
Authors: Frank J Fabozzi, Harry M Markowitz
2nd Edition
0470929901, 9780470929902
