Consider a stock with current price S=100 and standard deviation of annual returns =30%. Stock does not

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Consider a stock with current price S=100 and standard deviation of annual returns σ=30%. Stock does not pay any dividends. Consider a 1-year European call option on this stock with a strike price of $95. The risk-free interest rate is 8%.

a) Find the value of this option using Cox-Ross-Rubenstein 2-step binomial option pricing model.

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Management Science The Art of Modeling with Spreadsheets

ISBN: 978-1118582695

4th edition

Authors: Stephen G. Powell, Kenneth R. Baker

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Posted Date: Apr 25, 2024 09:23 AM

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Consider a stock with current price S=100 and standard deviation of annual returns =30%. Stock does not

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To find the value of the European call option using the CoxRossRubinstein CRR binomial option pricin... View the full answer

Management Science The Art of Modeling with Spreadsheets

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