Binomial option pricing case 2a non-dividend paying stock, Ask an Expert

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Binomial Option Pricing Case 2:

A non-dividend paying stock is currently priced at $53/share. In each period, the stock can move up by 12% or drop by 8% and the periodical risk-free rate is 2%.

Binomial Option Pricing Case 2: In a two-period binomial tree option pricing model, a two-period European put option with a strike price of 54 is worth

A. 4.481.

B. 2.240.

C. 2.196.

D. 2.040.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92778574

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