Question
The volatility (sigma) of a stock is 50% per annum. We will model stock-price movements using a Binomial tree, where each branch of the tree
The volatility (sigma) of a stock is 50% per annum. We will model stock-price movements using a Binomial tree, where each branch of the tree has a step length (delta t) of 4 months.
Calculate the proportion up movement (u) that applies to each branch of the tree.
Your answer should have at least two decimal places.
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Personal Finance
Authors: Jeff Madura, Hardeep Singh Gill
3rd Canadian Edition
978-0133035575, 133035573, 978-0133970524, 133970523, 978-0134040042
