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THe price of ABC stock is binomially distributed, either mov

Thesis Help Finance THe price of ABC stock is binomially distributed, either mov

Finance

THe price of ABC stock is binomially distributed, either mov

THe price of ABC stock is binomially distributed, either moving up 30%, or down 20%, each period. As… Show more THe price of ABC stock is binomially distributed, either moving up 30%, or down 20%, each period. Assume there are no dividends. The current stock price is $100/shr, and the risk-free rate is 5% per period. a) Show the implied 2 period pattern (show t0, t1, and t2), of future stock prices, and find the pseudoprobability, “P” of an up move. b) Find the value of a two period ABC American CALL that expires at t2 and whose strike price is $105/shr. c) Find the value of a two period ABC American PUT that expires at t2 and whose strike price is $105/shr. d) FInd the value of a two period ABC European PUT that expires at t2 and whose strike price $105/shr. • Show less

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