Problem 1: Find fair value of an European call option with strike price K =220USD, where underlying is a non-dividend paying equity with current...

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 Problem 1: Find fair value of an European call option with strike price K =220USD, where underlying is a non-dividend paying equity with current price S=200 USD. Option expires in 8 months. Risk free annualized interest rate is 4% and underlying annualized volatility 10%. The compounding is continuous a) Use 2-step binomial Cox-Ross-Rubinstein model b) Use continuous Black-Scholes formula. 

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Problem 1: Find fair value of an European call option with strike price K =220USD, where underlying is a non-dividend paying equity with current...

  • Written in: 17-Oct-2019
  • Paper ID: 5960860
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DATE ANSWERED

Oct 17, 2019

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