You will estimate the value of a European put option using a Binomial tree. The following are
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Question:
current share price (S0) is $32
the put option has a strike price of $30
the riskfree rate of interest is 6% per annum
the option has 12 months to expiry
the volatility (sigma) of the underlying stock is 50% per annum.
Using a 8-step Binomial tree, what is the Binomial approximation of the put option value?
Related Book For
Financial Theory and Corporate Policy
ISBN: 978-0321127211
4th edition
Authors: Thomas E. Copeland, J. Fred Weston, Kuldeep Shastri
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