A four-step CoxRossRubinstein binomial tree is used to price a one-year American put

Chapter 21, Problem 21.33

(choose chapter or problem)

A four-step CoxRossRubinstein binomial tree is used to price a one-year American put option on an index when the index level is 500, the strike price is 500, the dividend yield is 2%, the risk-free rate is 5%, and the volatility is 25% per annum. What is the option price, delta, gamma, and theta? Explain how you would calculate vega and rho.

Unfortunately, we don't have that question answered yet. But you can get it answered in just 5 hours by Logging in or Becoming a subscriber.

Becoming a subscriber
Or look for another answer

×

Login

Login or Sign up for access to all of our study tools and educational content!

Forgot password?
Register Now

×

Register

Sign up for access to all content on our site!

Or login if you already have an account

×

Reset password

If you have an active account we’ll send you an e-mail for password recovery

Or login if you have your password back