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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 0.49 1period of 1
Suppose you are attempting to value a 1-year expiration option on a stock with volatility (i.e, annualized standard deviation) of o 0.49 1period of 1 year . b. 4 subperiods, each 3 months. 12 subperiods, each 1 month C. 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.) u= exp ( t d exp(-aAt) Subperiods At = T = 1/1 1 1 . 1/4 0.25 4 12 1/12 0.0833
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