Use the binomial option pricing model to calculate the price of a 12 month call using the
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Question:
- Use the binomial option pricing model to calculate the price of a 12 month call using the following data :
Up move expected | 12% |
Down move expected | -6% |
Initial Share Price | 50.00 |
Risk-free Interest Rate | 4% |
Exercise Price | 50.00 |
- Use put-call parity to calculate the price of the matching put (i.e. at the same strike price).
- What would be the price of the $55 call?
Related Book For
Introduction To Corporate Finance
ISBN: 9781118300763
3rd Edition
Authors: Laurence Booth, Sean Cleary
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