Question
Suppose there is a European option that has XYZ stock as underlying asset, which currently trades at $85. The option expires in one period, and
Suppose there is a European option that has XYZ stock as underlying asset, which currently trades at $85. The option expires in one period, and has a strike price of $95. The stock price either goes up by 25% or drops by -25%. The risk-free rate is 4%. For a protective put option, what option price, using the biomial method?
| 93.835 | ||
| 98.2039 | ||
| 78.726 | ||
| 97.6202 | ||
| 95.8894 |
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Corporate Finance Theory And Practice
Authors: Aswath Damodaran
2nd Edition
0471283320, 9780471283324
