the end of year) takes three values 120, Let S(0) be 100 and S(1) (i.e., the...
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the end of year) takes three values 120, Let S(0) be 100 and S(1) (i.e., the value of 100 and 90 with probabilities 0.3, 0.3 and 0.4 repectively. Let the continuous risk free rate r be 3.85% per annum. Further let the price of European call with maturity one year on this stock with the strike price Rs 105 be Rs 5. Find the price of European call with the strike price 95. the end of year) takes three values 120, Let S(0) be 100 and S(1) (i.e., the value of 100 and 90 with probabilities 0.3, 0.3 and 0.4 repectively. Let the continuous risk free rate r be 3.85% per annum. Further let the price of European call with maturity one year on this stock with the strike price Rs 105 be Rs 5. Find the price of European call with the strike price 95.
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Answer rating: 100% (QA)
1 Price of European Call with Strike Price 95 The price of a European call option with strike price 95 is determined by the BlackScholes formula The B... View the full answer
Related Book For
Understanding Basic Statistics
ISBN: 9781111827021
6th Edition
Authors: Charles Henry Brase, Corrinne Pellillo Brase
Posted Date:
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