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Suppose you are attempting to value a 1-year expiration option on a stock with volatility (i.e., annualized standard deviation) of o = 0.37. a. 1
Suppose you are attempting to value a 1-year expiration option on a stock with volatility (i.e., annualized standard deviation) of o = 0.37. 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 dif your binomial model is set up using: (Do not round intermediate calculations. Round your answers to 4 decimal places.) At = T Subperiods This is a numeric cell, so please enter numbers only. 1/1 = 1 1 a. 1/4 = 0.25 b. 4 12 1/12 = 0.0833 c
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