3%, u = 1.2, d = 0.9, T = 0.75, = 3, and K = $0.85. Use Binomial Option pricing to answer the following Suppose that the exchange rate is $0.92/€. Let rs = 4%, and re = number of binomial periods two questions. (a) What is the price of a 9-month European call? (b) What is the price of a 9-month American call? Question II: Use the same inputs as in the previous (first) question, except that K = $1.00. (a) What is the price of a 9-month European put? (b) What is the price of a 9-month American put?
3%, u = 1.2, d = 0.9, T = 0.75, = 3, and K = $0.85. Use Binomial Option pricing to answer the following Suppose that the exchange rate is $0.92/€. Let rs = 4%, and re = number of binomial periods two questions. (a) What is the price of a 9-month European call? (b) What is the price of a 9-month American call? Question II: Use the same inputs as in the previous (first) question, except that K = $1.00. (a) What is the price of a 9-month European put? (b) What is the price of a 9-month American put?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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please answer the question2 with the data in question1
Transcribed Image Text:Question I:
= 4%, and re = 3%, u =
1.2, d
Suppose that the exchange rate is $0.92/€. Let rs
0.9, T = 0.75,
number of binomial periods 3, and K = $0.85. Use Binomial Option pricing to answer the following
two questions.
(a) What is the price of a 9-month European call?
(b) What is the price of a 9-month American call?
Question II:
Use the same inputs as in the previous (first) question, except that K = $1.00.
(a) What is the price of a 9-month European put?
(b) What is the price of a 9-month American put?
=
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