A stock selling at $80 will either go up at the rate of u=10% or down at
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A stock selling at $80 will either go up at the rate of u=10% or down at the rate of d=-10% each month for the next two months. The constant risk-free rate is 1% per month. The stock will pay a dividend of $5 next month.
What is the price of an American PUT with a strike price of $75 and a maturity of two months?
Related Book For
Financial Accounting and Reporting a Global Perspective
ISBN: 978-1408076866
4th edition
Authors: Michel Lebas, Herve Stolowy, Yuan Ding
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