Assume S = $35.00, K = $34.00, 0 = 0.30, r=0.08, t = 1 year,...
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Assume S = $35.00, K = $34.00, 0 = 0.30, r=0.08, t = 1 year, 8 = 0.00, and h = 0.5. Construct a 2-period binomial tree. Calculate the following: k-neutral probability p* of prices going up Using Monte Carlo valuation, calculate the price of the Asian Arithmetic Average Price Call Option. Consider stock price averages computed by averaging the 6-month and 1- year prices. Assume S = $35.00, K = $34.00, 0 = 0.30, r=0.08, t = 1 year, 8 = 0.00, and h = 0.5. Construct a 2-period binomial tree. Calculate the following: k-neutral probability p* of prices going up Using Monte Carlo valuation, calculate the price of the Asian Arithmetic Average Price Call Option. Consider stock price averages computed by averaging the 6-month and 1- year prices
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