A stock price is currently $100. A call option on
this stock with a strike price of $100 and one year to maturity
costs $13.61. The continuous-time interest rate is 5%. By using a
one-step binomial tree, estimate the expected volatility level
(σ) for the stock. Assume that u and d are modeled as
below.
( Excel's Goal Seek will help solving this and
will be much appreciated to be posted to see how it has been used
to solve this problem, thanks)
Design the template like this
Feed the formula like I filled up.
Enable solver add-in in the excel
you can feed any volatility during the start of the problem.
To find the volatility, open the solver in data tab and enter the data as i feed, Volatility changes as
A stock price is currently $100. A call option on this stock with a strike price...
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