The risk-neutral probability, p, can be calculated as [e(rT)-d] / [u-d]. In this case, r = 0.0225, u = 1.1, d = 0.9, which makes p equal to [e[0.0225*(6/12)] - 0.9] / [1.1 - 0.9] = .5566
3、Calculate the value of a one-year put option today for a stock that currently trades at $40 and can either move to $44 or $36 at the end of a year. The continuously compounded risk-free rate is 3 percent and the put strike price is $40. The put option’s value is closest to:
发表于 2009-6-25 13:56
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