Question
The price of Aurora stock is $45 per share. The stocks volatility is 24% and the stock does not pay dividends. The riskless interest for
The price of Aurora stock is $45 per share. The stocks volatility is 24% and the stock does not pay dividends. The riskless interest for continuous compounding is 1.1%.
Use risk neutral valuation to find the price of an American put option on Aurora stock with a strike price equal to $47.50 per share. The option expires in one year. Use a binomial tree with two time steps.
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Contemporary Financial Management Fundamentals
Authors: R. Charles Moyer, James R. McGuigan, Ramesh P. Rao
1st Edition
0324015771, 9780324015775
