Question
Suppose you are attempting to value a 1-year expiration option on a stock with volatility (i.e., annualized standard deviation) of = 0.30. a. 1 period
Suppose you are attempting to value a 1-year expiration option on a stock with volatility (i.e., annualized standard deviation) of = 0.30.
| 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.)
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Bond Markets Analysis And Strategies
Authors: Frank J. Fabozzi
4th Edition
0130402664, 9780130402660
