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 $97and the standard deviation of the stock returns is 62 percent. The option has a strike price of $105and the risk-free interest rate is an annual percentage rate of 7.4 percent.
What is the price of the put option today? Use a two-state model with one-month steps.
Related Book For
Corporate Finance
ISBN: 978-0077861759
10th edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe
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