The volatility of a non-dividend-paying stock, whose price is $88, is 30%. The continuously?
... compounded risk-free rate is 12% per annum for all maturities.a) What are the values for u, d, and p with two-step binomial tree (each step is f
... compounded risk-free rate is 12% per annum for all maturities.
a) What are the values for u, d, and p with two-step binomial tree (each step is for 6-months)?
b) What is the value of a 1 year European call option with a strike price of $100 given by a two-step binomial tree?
c) Suppose a trader sells 20 call option contracts (2,000 call options). What position in the stock is necessary to hedge the trader’s position at the time of the trade?
or:... compounded risk-free rate is 12% per annum for all maturities.\ta) What are the values for u, d, and p with two-step binomial tree (each step is for 6-months)?b) What is the value of a 1 year European call option with a strike price of $100 given by a two-step binomial tree?c) Suppose a trader sells 20 call option contracts (2,000 call options). What position in the stock is necessary to hedge the trader\u2019s position at the time of the trade?
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