We model the movement of stock prices using a Binomial tree. Each branch of the tree spans
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Question:
We model the movement of stock prices using a Binomial tree.
Each branch of the tree spans a time horizon of 4 months.
The proportional up movement on the tree (u) is 1.79.
What is the volatility of the stock implied by u?
If your answer is (say) 40%, enter 0.40.
Related Book For
South Western Federal Taxation 2014 Comprehensive Volume
ISBN: 9781285180922
37th edition
Authors: William H. Hoffman, David M. Maloney, William A. Raabe, James C. Young
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