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chapter4金融工程
1oÙ Binomial Model for Option
Pricing
!WK
1. A stock price is currently $40.It is known that at the end of one month it will
be either $42 or $38.The risk-free interest rate is 8% per annum with continuous
compounding. So the value of one-month European call option with a strike price of
$39 is .
2. A stock price is currently $50.It is known that at the end of six months it will
be either $45 or $55.The risk-free interest rate is 10% per annum with continuous
compounding. So the value of a six-month European put option with a strike price
of $50 is .
3. A stock price is currently $100.Over each of the next two six-month periods it is
expected to go up by 10% or down by 10%.The risk-free interest rate is 8% per
annum with continuous compounding.The value of a one-year European call option
with a strike price of $100 is .
!üÀK(3zKoÀY¥ÀJ(YèW\K)Ò S)
1. The stock price is currently $80. The stock price annual up-move factor is 1.15. The
risk-free rate is 3.9%. The value of a two-year European call option with an exercise
price of $62 using a two-step binomial model is closest to ( )
A. $0.00 B. $18.00
C. $23.07 D. $24.92
2. The stock price is currently $80.The stock price will move up by 15% each year. The
risk-free rate is 3.9%.The value of a two-year European put option with an exercise
price of $62 using a two-step binomial model is closest to ( )
1
2 1 oÙ BINOMIAL MODEL FOR OPTION PRICING
A. $0.42
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