Suppose you set up a spreadsheet with 10 periods. You wish to value an option with a one-year expiration. The stock's annual standard deviation is 30%, the risk-free rate is r = 4% and the dividend yield on the stock is 1%. Using the calibration solution used in class, what would be the value for u?

What would be the value of d?

What would be the value of p?

Answer rating: 100% (QA)

To determine the values of u d and p we can use th... View the full answer