A European Call Option on a non-dividend-paying stock where the stock price is $40, the strike price is $40, the risk-free rate is 4% per annum, the volatility is 30% per annum, and the time to maturity is 6-mo. a) Calculate u, d, and p for a two-step tree b) Value the option using a two-step tree. c) Verify that DerivaGem gives the same answer.(guidance) d) Use deriva Gem to value options with 5, 50, 100 and 500 time steps. (guidance or answer),i have a few other questions. if i am satisfied then i will send them also.
Paper#8448 | Written in 18-Jul-2015Price : $25