Question
The current price of a non-dividend-paying stock is 30. The volatility of the stock is 0.3 per annum. The risk free rate is 0.05 for
The current price of a non-dividend-paying stock is 30. The volatility of the stock is 0.3 per annum. The risk free rate is 0.05 for all maturities. Using the Cox-Ross-Rubinstein binomial tree model with two time steps to do the valuation, what is the value of a European call option with a strike price of 32 that expires in 6 months?
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Fixed Income Securities Tools For Todays Markets
Authors: Bruce Tuckman, Angel Serrat
4th Edition
1119835550, 978-1119835554
