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We model the movement of stock prices using a Binomial tree. Each branch of the tree spans a time horizon

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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.

Expert Answer:

Answer rating: 100% (QA)

Step 1 we know that H 1 79 1 u 1 Now Explanation Explanation or 1 View the full answer


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South Western Federal Taxation 2014 Comprehensive Volume

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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Posted Date: August 19, 2022 09:42:50
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