Question
The price of a non-dividend-paying stock is currently $50. It is known that in six months the stock price will be either $45 or $55.
The price of a non-dividend-paying stock is currently $50. It is known that in six months the stock price will be either $45 or $55. The continuously compounded risk-free interest rate is 10% per year. What is the risk-neutral probability that the stock price reaches $45 in six months?
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Options Futures And Other Derivatives
Authors: John C. Hull
11th Edition
013693997X, 9780136939979
