Consider a 6-month put with a strike price of $44 on a stock whose current price is
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Consider a 6-month put with a strike price of $44 on a stock whose current price is $40. Assume that there are two-time steps, and in each time, step the stock price either moves by 10% or moves down by 10%. We also suppose that the risk-free rate of interest is 2%. Compute the value of the put using the recombining binomial tree under the assumption that the option is European and under the assumption that the option is American.
Related Book For
Fundamentals of Investments Valuation and Management
ISBN: 978-0077283292
5th edition
Authors: Bradford D. Jordan, Thomas W. Miller
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