Question
You are pricing a derivative using the risk-netural approach on a Binomial tree. The length of each branch in the tree (delta t) is 7
You are pricing a derivative using the risk-netural approach on a Binomial tree. The length of each branch in the tree (delta t) is 7 months. The riskfree rate of interest is 4% per annum. The proportional up movement in stock price is u = 1.4.
Calculate the risk-neutral probability (p*) that share price will move up.
Note: if the probability is (say) 51.23%, enter 0.5123
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Cost Accounting A Managerial Emphasis
Authors: Horngren, Srikant Datar, George Foster, Madhav Rajan, Christ
6th Canadian edition
978-0132893534, 9780133389401, 132893533, 133389405, 978-0133392883
