Stock X price is $100 and could go up by 17% or down by 15% in each
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Question:
Stock X price is $100 and could go up by 17% or down by 15% in each six-month period. A one-year put option on stock X has an exercise price of $98. The interest rate is 2.5% a year.
Find an equivalent standard deviation of returns of stock X.
Related Book For
Fundamentals Of Corporate Finance
ISBN: 9780135811603
5th Edition
Authors: Jonathan Berk, Peter DeMarzo, Jarrad Harford
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