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Suppose you are attempting to value a 1-year expiration option on a stock with volatility (ie, annualized standard deviation) of 0.33. a. 1 period of
Suppose you are attempting to value a 1-year expiration option on a stock with volatility (ie, annualized standard deviation) of 0.33. a. 1 period of 1 year b. 4 subperiods, each 3 months. c.12 subperiods, each 1 month What would be the appropriate values for u and d if your binomial model is set up using: (Do not round intermediate calculations Round your answers to 4 decimal places.) 1 /4 = 0.25 b. 4 1/12 0.0833 12 C
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