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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Thomas Calculus Early Transcendentals
Authors: Joel R Hass, Christopher E Heil, Maurice D Weir
13th Edition
9780321884077
