Examlex

Solved

A Binomial Tree Prices an American Option at $3

question 4

Short Answer

A binomial tree prices an American option at $3.12 and the corresponding European option at $3.04. The Black-Scholes price of the European option is $2.98. What is the control variate price of the American option?
_ _ _ _ _ _


Definitions:

Standard Overhead Rate

A predetermined rate applied to estimate the cost of a product’s indirect expenses such as manufacturing or production overheads.

Related Questions