Question
In: Finance
A stock price is currently $100. Over each of the next two 6-month periods it is...
A stock price is currently $100. Over each of the next two 6-month
periods it is expected to go up by 10% or down by 10%. The
risk-free interest rate is 8% per annum with continuous
compounding, what is the value of a 1-year European put option with
a strike price of $100?
Solutions
Expert Solution
Solution.>
The price of the 1-year European put option is $1.921
I have solved this question in Excel. The formula used are shown in another excel file. If you still have any doubt, kindly ask in the comment section.
The formula used are:
Note: Give it a thumbs up if it helps! Thanks in advance!
jeff jeffy answered 1 year agoRelated Solutions
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A stock price is currently priced at £100. Over each of the next two three-month periods...
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If possible, please provide a detailed step by step as I would
like to fully comprehend it rather than just copying it. Thank you
:)
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of 0.8 in each period. A European put option with strike price of
$48 and maturity of one year is available. The current risk-free
rate is 4.0% per year.
a. Is the put option in the money or out the money? Explain
b. What is the current value of this European put...
A stock is currently at $50. Over each of the next two 6-month periods, the stock...
A stock is currently at $50. Over each of the next two 6-month
periods, the stock may move up to a factor 1.2 or down by a factor
of 0.8 in each period. A European put option with strike price of
$48 and maturity of one year is available. The current risk-free
rate is 4.0% per year .
a. Is the put option in the money or out the money? Explain
b. What is the current value of this European...
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