This is a two state option pricing question. The riskfree rate is zero. Current stock price is 95. The up state stock price is 117, down state 80. A put option on this stock has a time O price of 8. Then the strike price of the put is (keep 2 decimal places).
This is a two state option pricing question. The riskfree rate is zero. Current stock price is 95. The up state stock price is 117, down state 80. A put option on this stock has a time O price of 8. Then the strike price of the put is (keep 2 decimal places).
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter5: Financial Options
Section: Chapter Questions
Problem 3MC: Consider Triple Play’s call option with a $25 strike price. The following table contains historical...
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