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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. 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.) exp(-oAt) u = exp ( t) Subperiods At = T 1/1 1 1 . b. 4 1/4 0.25 12 1/12 0.0833 C
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