Spot Price: RM25 Strike Price: RM25 Time to maturity: 1 year Risk free rate: 5% Standard Deviation of stock: 0.10 Bond's coupon (interest rate): 5% Probability of price to go up: 15% Probability of price to go down: 5% Find: i. Binomial single period call and put prices i. Put call parity theorem for Binomial model

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
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Spot Price: RM25
Strike Price: RM25
Time to maturity: 1 year
Risk free rate: 5%
Standard Deviation of stock: 0.10
Bond's coupon (interest rate): 5%
Probability of price to go up: 15%
Probability of price to go down: 5%
Find:
i. Binomial single period call and put prices
ii. Put call parity theorem for Binomial model
Transcribed Image Text:Spot Price: RM25 Strike Price: RM25 Time to maturity: 1 year Risk free rate: 5% Standard Deviation of stock: 0.10 Bond's coupon (interest rate): 5% Probability of price to go up: 15% Probability of price to go down: 5% Find: i. Binomial single period call and put prices ii. Put call parity theorem for Binomial model
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