Question
Stock X price is $100 and could go up by 17% or down by 15% in each six-month period. A one-year put option on stock
Stock X price is $100 and could go up by 17% or down by 15% in each six-month period. A one-year put option on stock X has an exercise price of $98. The interest rate is 2.5% a year.
Find an equivalent standard deviation of returns of stock X.
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Fundamentals Of Corporate Finance
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0135811600, 978-0135811603
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