Suppose you are attempting to value a 1-year expiration option on a stock with volatility (i.e.,...

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Suppose you are attempting to value a 1-year expiration option on a stock with volatility (i.e., annualized standard deviatio

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first let us compute Ulandd o is the ratio of the underlying Price in case of an up move to the current price of the underly - computation of ut D subperiod 0.3765) 0.37 e 0.37 Cross) 7.374021.4477 -_= 1.2032 12 20-37(10.0622), 0-34 1 :0976 Subperiod

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