Consider the following data for computing option prices given to you by your professor. You want to
Question:
Consider the following data for computing option prices given to you by your professor.
You want to know how this data was generated. The professor, when asked, apologizes and says, “I used a Jarrow- Rudd approximation but I lost the data. You are an Excel expert— why don’t you use ‘Goal Seek’ and determine what the volatility is?”
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Stock Today After 1 year 120.77389800 100 89.47150422 Call: strike price K105, option matures after 1 year. Money Market Account (mma) 1 1.051271096
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Type in the inputs of this binomial model in an Excel spreadsheet as follows where we have labeled the cells as in Excel for convenience Here we have ...View the full answer
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Related Book For
An Introduction to Derivative Securities Financial Markets and Risk Management
ISBN: 978-0393913071
1st edition
Authors: Robert A. Jarrow, Arkadev Chatterjee
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