A stock is selling at INR 1,250. There exists a call option on this stock with expiry in 60 days and an exercise price of INR 1,300. It is estimated that every 30 days, the stock price could either increase by 7% or decrease by 5%. The risk-free rate is 6%. Calculate the put price by using the two-period binomial options pricing model.(Consider 360day-year)
A stock is selling at INR 1,250. There exists a call option on this stock with expiry in 60 days and an exercise price of INR 1,300. It is estimated that every 30 days, the stock price could either increase by 7% or decrease by 5%. The risk-free rate is 6%. Calculate the put price by using the two-period binomial options pricing model.(Consider 360day-year)
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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A stock is selling at INR 1,250. There exists a call option on this stock with expiry in 60 days
and an exercise price of INR 1,300. It is estimated that every 30 days, the stock price could
either increase by 7% or decrease by 5%. The risk-free rate is 6%. Calculate the put price by
using the two-period binomial options pricing model.(Consider 360day-year)
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