fe610hw1 - 93.59 S =.16 9.33 110.44 110.44 6.17 5.44 106.84...

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r= 0.05 state 1 state 2 A 1.05 1.05 * 0.45 X1 = 1 B 36 40 0.5 X2 36.2 K= 38 c= 0 2 1 p= 2 0 0.9 Call Put Parity c+K*B(t) = p+S0 37.1 37.1
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= 1 36.2
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100 dt 0.03 = σ 0.2 u 1.03 r= 0.06 d 0.97 K= 105 Pu 0.52 T= 0.11 Pd 0.48 dt= 0.03 call premium ### 106.84 3.88 103.37 2.36 100 100 1.4 0.75 96.74 0.38
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Unformatted text preview: 93.59 S = 118 13 114.16 9.33 110.44 110.44 6.17 5.44 106.84 2.81 103.37 103.37 1.45 100 96.74 96.74 93.59 90.55 90.55 87.6 84.75...
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