Question
We model the movement of stock prices using a Binomial tree. Each branch of the tree spans a time horizon of 5 months. The proportional
We model the movement of stock prices using a Binomial tree. Each branch of the tree spans a time horizon of 5 months. The proportional up movement on the tree (u) is 1.85.
What is the volatility of the stock implied by u?If your answer is (say) 40%, enter 0.40.
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Financial Institutions Management A Risk Management Approach
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
8th edition
978-0078034800, 78034809, 978-0071051590
