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The current price of a non-dividend-paying biotech stock is $120 with a volatility of 20%. The risk-free rate is 5%. For a three-month time step:
The current price of a non-dividend-paying biotech stock is $120 with a volatility of 20%. The risk-free rate is 5%. For a three-month time step:
(a) What is the percentage up movement?
(b) What is the percentage down movement?
(c) What is the probability of an up movement in a risk-neutral world?
(d) What is the probability of a down movement in a risk-neutral world?
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Finance For Non Financial Managers
Authors: Pierre Bergeron
6th Edition
0176501630, 9780176501631
