Stock AAPL is currently traded at $175. The price of AAPL is assumed governed by the...
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Stock AAPL is currently traded at $175. The price of AAPL is assumed governed by the Black-Scholes model with volatility o = = 25%. AAPL pays no dividend in the next 3 months. Interest rate (continuous compounding) is r = 2%. (1) Under risk neutral probability, what is the probability that the price of AAPL will fall in the interval [100, 250] 3 months later? (2) Determine the price of the put on AAPL struck at $180 and expiring in 3 months. Stock AAPL is currently traded at $175. The price of AAPL is assumed governed by the Black-Scholes model with volatility o = = 25%. AAPL pays no dividend in the next 3 months. Interest rate (continuous compounding) is r = 2%. (1) Under risk neutral probability, what is the probability that the price of AAPL will fall in the interval [100, 250] 3 months later? (2) Determine the price of the put on AAPL struck at $180 and expiring in 3 months.
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Answer rating: 100% (QA)
To calculate the probability of the price of AAPL falling in the interval 100 250 three months later we can use the BlackScholes formula to determine ... View the full answer
Related Book For
Financial Reporting Financial Statement Analysis and Valuation a strategic perspective
ISBN: 978-1337614689
9th edition
Authors: James M. Wahlen, Stephen P. Baginski, Mark Bradshaw
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