A stock price is currently 100. There are two states of nature in two month. The stock

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A stock price is currently 100. There are two states of nature in two month. The stock price realization in two months in the up state is 114, while in the down state it is not known. The simple risk-free interest rate is 7% per annum.

What is theprice of a derivative that pays -37 in both states of nature?

Related Book For answer-question

Fundamentals of Futures and Options Markets

ISBN: 978-0132993340

8th edition

Authors: John C. Hull

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Posted Date: Apr 29, 2023 07:48 AM

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A stock price is currently 100. There are two states of nature in two month. The stock

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Answer To calculate the price of the derivative we can use the concept of present value First we nee... View the full answer

Fundamentals of Futures and Options Markets

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