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The current price of a non-dividend-paying stock is $30. Over the next six months it is expected to rise to $36 or fall to $26.
The current price of a non-dividend-paying stock is $30. Over the next six months it is expected to rise to $36 or fall to $26. Assume that the risk-free rate is zero. An investor sells put options with a strike price of $32. What is the risk-neutral probability of the underlying hitting $36 and what is the value of each put option?
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Energy Finance And Economics Analysis And Valuation Risk Management And The Future Of Energy
Authors: Betty Simkins, Russell Simkins
1st Edition
1118017129, 978-1118017128
