Suppose that today's price of ABC stock is $100 and it is known that price moves up or down by a single multiple of 'u' and 'd' respectively in six-months. A riskless portfolio is comprising of delta stocks of ABC and a six-months CALL option on ABC stock with a strike price of $105. Finally, if risk-free rate is 12% per annum for all maturities and the annual variance of the underlying stock prices is 36%, complete the table below for nodes A, B and C: Your answer MUST be two decimal places. Nodes A B C Stock Price 100 $ $ Option Price $ $ Delta () ՄՌ ՄՌ $
Suppose that today's price of ABC stock is $100 and it is known that price moves up or down by a single multiple of 'u' and 'd' respectively in six-months. A riskless portfolio is comprising of delta stocks of ABC and a six-months CALL option on ABC stock with a strike price of $105. Finally, if risk-free rate is 12% per annum for all maturities and the annual variance of the underlying stock prices is 36%, complete the table below for nodes A, B and C: Your answer MUST be two decimal places. Nodes A B C Stock Price 100 $ $ Option Price $ $ Delta () ՄՌ ՄՌ $
Chapter1: Financial Statements And Business Decisions
Section: Chapter Questions
Problem 1Q
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