"ULTA's current stock price is $265, Its return volatility is 60%. Assume no dividend and a continuously compounding interest rate of 5%. Construct a twe step binomial tree with each step being 6-month based on the approach on the lecture notes, and value a 1-year $200 - strike ULTA put option on this tree (You will be asked about the option's payoff, value, delta, and the tree probability in separate numerical questions on ULTA. So please keep the tree result to avoid repetition). What's the delta of this 1 - vear put option? (round answer to 0.01)"
"ULTA's current stock price is $265, Its return volatility is 60%. Assume no dividend and a continuously compounding interest rate of 5%. Construct a twe step binomial tree with each step being 6-month based on the approach on the lecture notes, and value a 1-year $200 - strike ULTA put option on this tree (You will be asked about the option's payoff, value, delta, and the tree probability in separate numerical questions on ULTA. So please keep the tree result to avoid repetition). What's the delta of this 1 - vear put option? (round answer to 0.01)"
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:"ULTA's current stock price is $265, Its return volatility is 60%. Assume no dividend and a continuously compounding
interest rate of 5%. Construct a twe step binomial tree with each step being 6-month based on the approach on the
lecture notes, and value a 1-year $200 - strike ULTA put option on this tree (You will be asked about the option's payoff,
value, delta, and the tree probability in separate numerical questions on ULTA. So please keep the tree result to avoid
repetition). What's the delta of this 1 - vear put option? (round answer to 0.01)"
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