1) The stock price is $30, the strike price is $30, the risk free rate is 6% per annum, the volatility is 20% per annum and the time to maturity is 9 months. Assume a 3 stop binomial model a) What is the delta of the call? Delta of the put? a) What is the price of the call option?

Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter5: Financial Options
Section: Chapter Questions
Problem 5P
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1)
The stock price is $30, the strike price is $30, the risk free rate is 6% per annum,
the volatility is 20% per annum and the time to maturity is 9 months. Assume a 3
stop binomial model
a) What is the delta of the call? Delta of the put?
a) What is the price of the call option?
Transcribed Image Text:1) The stock price is $30, the strike price is $30, the risk free rate is 6% per annum, the volatility is 20% per annum and the time to maturity is 9 months. Assume a 3 stop binomial model a) What is the delta of the call? Delta of the put? a) What is the price of the call option?
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