Consider a 6-month European put option with strike price of $2050 on a stock index if the
Fantastic news! We've Found the answer you've been seeking!
Question:
Consider a 6-month European put option with strike price of $2050 on a stock index if the current index value is $2000. The dividends paid by the stock included in the index can be approximated by a continuously compounded dividend yield of 10%. The risk-free interest rate is 8%. The standard deviation of the index price appreciation is =30%.
Using Excel, find the value of this option using Cox-Ross-Rubenstein 10-step binomial option pricing model
Expert Answer:
To value the European put option using the CoxRossRubinstein CRR binomial option pricing model in Excel well follow these steps 1 Set up the binomial ... View the full answer
Posted Date:
