A stock is selling at INR 1,250. There exists a call option on this stock with expiry in 60 days and an exercise price of INR 1,300. It is estimated that every 30 days, the stock price could either increase by 7% or decrease by 5%. The risk-free rate is 6%. Calculate the put price by using the two-period binomial options pricing model.(Consider 360day-year)
A stock is selling at INR 1,250. There exists a call option on this stock with expiry in 60 days and an exercise price of INR 1,300. It is estimated that every 30 days, the stock price could either increase by 7% or decrease by 5%. The risk-free rate is 6%. Calculate the put price by using the two-period binomial options pricing model.(Consider 360day-year)
Chapter20: Financing With Derivatives
Section20.A: The Black-scholes Option Pricing Model
Problem 1P
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A stock is selling at INR 1,250. There exists a call option on this stock with expiry in 60 days
and an exercise price of INR 1,300. It is estimated that every 30 days, the stock price could
either increase by 7% or decrease by 5%. The risk-free rate is 6%. Calculate the put price by
using the two-period binomial options pricing model.(Consider 360day-year)
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