The continuously compounded annual returns for a company have a variance of 14%. Use the Cox-Ross-Rubinstein binomial method for option pricing to determine the six-month downside change in value. Possible Answers 23% 18% 13% 8% 3% You construct a one-period binomial tree for modeling the price movements of a nondividendpaying stock. i. The period is 3 months. ii. The initial stock price is $100. iii. The stock' s volatility is 30%. iv. The continuously compounded risk-free interest rate is 4%. At the beginning of the period, an investor owns an American put option on the stock. The option expires at the end of the period. Determine the smallest integer-valued strike price for which an investor will exercise the put option at the beginning of the period. Possible Answers 114 115 116 117 118 The continuously compounded annual returns for a company have a variance of 14%. Use the Cox-Ross-Rubinstein binomial method for option pricing to determine the six-month downside change in value. Possible Answers 23% 18% 13% 8% 3% You construct a one-period binomial tree for modeling the price movements of a nondividendpaying stock. i. The period is 3 months. ii. The initial stock price is $100. iii. The stock' s volatility is 30%. iv. The continuously compounded risk-free interest rate is 4%. At the beginning of the period, an investor owns an American put option on the stock. The option expires at the end of the period. Determine the smallest integer-valued strike price for which an investor will exercise the put option at the beginning of the period. Possible Answers 114 115 116 117 118