Question: Let S = $55, K = $50, r = 3% (continuously compounded), T = 1, and d = 0. Let u = 1.35, d =

Let S = $55, K = $50, r = 3% (continuously compounded), T = 1, and d = 0. Let u = 1.35, d = 0.55, and n = 1. What are D and B for a European put?
Selected Answer: a.

D = 0.2989; B = 22.0257
Answers: a.

D = 0.2989; B = 22.0257
b.

D = 0.6069; B = 31.5022
c.

D = 0.4489; B = 32.3431
d.

D = 0.3425; B = 20.9907
e.

D = 0.4695; B = 19.8263

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