Compute todays put option value with the preceding data

Reference no: EM131458134

Question: a. Using Excel, compute today's call option value with the preceding data.

b. Using Excel, compute today's put option value with the preceding data.

Following data for a three period binomial model

- Options mature after T = 0.5 year and have strike price K = $65.

- The price of the underlying stock S is $63. The stock price evolves according to the Jarrow-Rudd specification in this 3-period model with volatility S = 0.3.

- The continuously compounded risk-free interest rate r is 0.045 per year.

Reference no: EM131458134

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