174 2011 Summer Quiz 1

174 2011 Summer Quiz 1 - ? 126.444 3 100.000 ? 82.7263...

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Math 174  Quiz 1   8/9 Name: _______________________ The following is the stock price tree under a Binomial Tree with two periods of 6 months  each.  (You can assume that the computer did this correctly, don’t waste time to verify  the numbers shown below.) S= 100 r= 0.07 = δ 0.025 Stock Price Tree
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Unformatted text preview: ? 126.444 3 100.000 ? 82.7263 68.4365 A) Using the above binomial tree, determine the price (4 decimal places) of a 1 year European Call option with strike price of $102 B) Using Call-Put parity, determine the price of a 1 year European Put option with strike price of $102...
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174 2011 Summer Quiz 1 - ? 126.444 3 100.000 ? 82.7263...

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