There is a European put option on a stock that expires in two months. The stock price
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Question:
There is a European put option on a stock that expires in two months. The stock price is $ and the standard deviation of the stock returns is percent. The option has a strike price of $ and the riskfree interest rate is an annual percentage rate of percent.
What is the price of the put option today using onemonth steps? Use a twostate model with onemonth steps.
What is the Put value?
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