174 2011 Summer Quiz 2

174 2011 Summer - 1 d= 0.8693 6 Stock Price Tree 80.803 7 68.856 4 58.675 5 59.860 9 50.000 51.010 1 43.467 9 44.346 37.789 2 32.852 3 Determine

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Math 174  Quiz 2   8/16 Name: _______________________ The following is price tree for Stock X  with three periods of 3 months each.  (You can  assume that the computer did this correctly, don’t waste time to verify the numbers  shown below.) Standard Model S= 50 r= 0.08 = δ 0.04 h= 0.250 n= 3 σ = 0.3 e -rh = 0.9802 0 e - h δ = 0.9900 5 u= 1.1735
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Unformatted text preview: 1 d= 0.8693 6 Stock Price Tree 80.803 7 68.856 4 58.675 5 59.860 9 50.000 51.010 1 43.467 9 44.346 37.789 2 32.852 3 Determine the price (4 decimal places) for a 9-month American Call Option with exercise price of $55 on a Futures Contract on one share of X that expires in 12 months....
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This note was uploaded on 09/20/2011 for the course MATH Math 174 taught by Professor Kong during the Summer '10 term at UCLA.

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