Question
Suppose you are attempting to value a 1-year maturity option on a stock with volatility (i.e.,annualized standard deviation) of 0.48. a. 1 period of 1
Suppose you are attempting to value a 1-year maturity option on a stock with volatility (i.e.,annualized standard deviation) of 0.48.
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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Finance Markets Investments And Financial Management
Authors: Daisy Scott
1st Edition
1639892001, 9781639892006
