Consider a binomial model withu= 1.2 andd= 0.9, the risk-free interestrate is 10%, and the current...
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Consider a binomial model withu= 1.2 andd= 0.9, the risk-free interestrate is 10%, and the current stock price is 100. a. What is the risk-neutral probability of the down stateSd=dS0? b. What is the hedge ratio (delta) of a European put option with an exercise priceX= 100 andn= 1 periods left until expiry? d. Calculate the price of a European put option with an exercise priceX= 100 andn= 2 periods left until expiry. (Hint:Xneeds to be discounted for 2 periods in theput-call parity.) Consider a binomial model withu= 1.2 andd= 0.9, the risk-free interestrate is 10%, and the current stock price is 100. a. What is the risk-neutral probability of the down stateSd=dS0? b. What is the hedge ratio (delta) of a European put option with an exercise priceX= 100 andn= 1 periods left until expiry? d. Calculate the price of a European put option with an exercise priceX= 100 andn= 2 periods left until expiry. (Hint:Xneeds to be discounted for 2 periods in theput-call parity.)
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Organic Chemistry
ISBN: 9788120307209
6th Edition
Authors: Robert Thornton Morrison, Robert Neilson Boyd
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