In the previous problem, assume that the exercise style on the option is American rather than European. What is the price of the option now?
In the previous problem, There is a European put option on a stock that expires in two months. The stock price is $73, and the standard deviation of the stock returns is 70 percent. The option has a strike price of $80, and the risk-free interest rate is a 5 percent annual percentage rate. What is the price of the put option today using one-month steps?

  • CreatedAugust 28, 2014
  • Files Included
Post your question