The Current Price of a Non-Dividend Paying Stock Is $30

question 6

Multiple Choice

The current price of a non-dividend paying stock is $30.Use a two-step tree to value a European put option on the stock with a strike price of $32 that expires in 6 months with u = 1.1 and d = 0.9.Each step is 3 months,the risk free rate is 8%.

• A) $2.24
• B) $2.44
• C) $2.64
• D) $2.84

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