Suppose that a share currently trades at £150 and each month thereafter either increases by 2% or decreases by 1%. Interest is compounded continuously at rate 3% per year. Calculate the no-arbitrage price of one thousand European put options with strike price £135 and expiry date one year from now. Enter your answer correct to the nearest penny, but do not enter the pound sign. Answer:
Suppose that a share currently trades at £150 and each month thereafter either increases by 2% or decreases by 1%. Interest is compounded continuously at rate 3% per year. Calculate the no-arbitrage price of one thousand European put options with strike price £135 and expiry date one year from now. Enter your answer correct to the nearest penny, but do not enter the pound sign. Answer:
Advanced Engineering Mathematics
10th Edition
ISBN:9780470458365
Author:Erwin Kreyszig
Publisher:Erwin Kreyszig
Chapter2: Second-order Linear Odes
Section: Chapter Questions
Problem 1RQ
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