You have compiled the following information about the pricing kernel Economic State/ Likelihood...
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Finance
You have compiled the following information about the pricing kernel
Economic State/
Likelihood m
(SDF) SP500
level
Sharp contraction (0.119) 1.01 3757
Mild recession (0.171) 1 3806
Slow growth (0.165) 0.96 4035
Rapid growth
(remaining likelihood) 0.92 4176
What would be the price of a call option on the SP500 index with a strike price of $3934?
[Hint: You'll need to compute the payoff(s) of the option]
You have compiled the following information about the pricing kemel What would be the price of a call option on the SP500 index with a strike price of $3934 ? [Hint: You'll need to compute the payoff(s) of the option]
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