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Stock AAPL is currently traded at $175. The price of AAPL is assumed governed by the Black-Scholes model with volatility o = = 25%.
Stock AAPL is currently traded at $175. The price of AAPL is assumed governed by the Black-Scholes model with volatility o = = 25%. AAPL pays no dividend in the next 3 months. Interest rate (continuous compounding) is r = 2%. (1) Under risk neutral probability, what is the probability that the price of AAPL will fall in the interval [100, 250] 3 months later? (2) Determine the price of the put on AAPL struck at $180 and expiring in 3 months.
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To calculate the probability of the price of AAPL falling in the interval 100 250 three months later we can use the BlackScholes formula to determine ...
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Financial Reporting Financial Statement Analysis And Valuation A Strategic Perspective
Authors: James M. Wahlen, Stephen P. Baginski, Mark Bradshaw
9th Edition
1337614689, 1337614688, 9781337668262, 978-1337614689
