The current price of a non-dividend paying stock is 30 use, Ask an Expert

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The current price of a non-dividend paying stock is $30. Use a two-step tree to value an American put option on the stock with a strike price of $32 that expires in 3 months. Each step is 1.5 months, the risk free rate is 8% per annum with continuous compounding. What is the option price when u = 1.1 and d = 0.9? Assume that the option is written on 100 shares of stock.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91592221

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