The current price of a continuous-dividend-paying stock is $100 per share. Its volatility is given to...
The current price of a continuous-dividend-paying stock is $100
per share. Its volatility is given to be
0.30 and its dividend yield is 0.03. The continuously-compounded,
risk-free interest rate equals 0.06.
Consider a $95-strike European put option on the above stock with
three months to expiration. Using
a one-period forward binomial tree, find the price of this put
option.
(a) $3.97
(b) $4.38
(c) $4.70
(d) $4.97
(e) None of the above.
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The current price of a continuous-dividend-paying stock is $100
per share. Its volatility is given to...
The current price of a continuous-dividend-paying stock is $100 per share. Its volatility is given to...
The current price of a continuous-dividend-paying stock is $100 per share. Its volatility is given to be 0.30 and its dividend yield is 0.03. The continuously-compounded, risk-free interest rate equals 0.06. Consider a $95-strike European put option on the above stock with three months to expiration. Using a one-period forward binomial tree, find the price of this put option. (a) $3.97 (b) $4.38 (c) $4.70 (d) $4.97 (e) None of the above.
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