Microsoft PowerPoint - PoF.ppt

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Example: European putƒ 218

Consider a traded asset (stock) with current price S = 100USD, an European put

with E = 100USD, T = 1year, 3 periods, r = 5%p.a.,

S

(H) = 125USD and S 1

(T) = 80USD. Determine the price of the 1

derivative?
Derivative securities: Options - Binomial asset pricing model

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