Suppose that we have a stock with a price of $75. We want to price...
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Suppose that we have a stock with a price of $75. We want to price a call option using the binomial model that has a strike price of $82. We are going to use steps of 5 days and price it for 20 days, so today plus four more time steps. The stock has a volatility of 47% and the risk free rate is 1%.
What is our DOWN multiplier?
A.
.9324
B.
.9465
C.
1.034
D.
1.567
Suppose that we have a stock with a price of $75. We want to price a call option using the binomial model that has a strike price of $82. We are going to use steps of 5 days and price it for 20 days, so today plus four more time steps. The stock has a volatility of 47% and the risk free rate is 1%.
What is the highest stock price on day 10?
A.
$67.55
B.
$83.72
C.
$95.78
D.
$108.83
Suppose that we have a stock with a price of $75. We want to price a call option using the binomial model that has a strike price of $82. We are going to use steps of 5 days and price it for 20 days, so today plus four more time steps. The stock has a volatility of 47% and the risk free rate is 1%.
What is the call option premium on day 20 for the stock price of $67.19?
A.
$0
B.
$.10
C.
$.78
D.
$1.83
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