Suppose that the risk free rate is 6 p a compounded continuously The current price (So) of a non dividend paying stock is 830 We model the evolution of the stock prices using a 4 step Binomial tree approach In every three month period, u 1 1618 and d 0 8607 This is illustrated in the figure below ...

Suppose that the risk-free rate is 6% p.a. compounded continuously. The current price (So) of a...

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An Introduction to the Mathematics of financial Derivatives

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Authors: Salih N. Neftci

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Suppose that the risk-free rate is 6% p.a. compounded continuously. The current price (So) of a...

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