User Account

All Pages

Construct a four-step binomial tree to price barrier option

Assignment Help Finance Basics
Reference no: EM133070544

A stock is currently traded at $60. The standard deviation of the stock return is 30% per annum. The riskless interest rate is 5% per annum. The terminal payoff of the derivative is specified as:

Payoff = 3 ST + 10

(i) Suppose that the derivative is a knock-out option with one year remaining. The barrier is set at $80. Construct a four-step binomial tree to price this barrier option.

Reference no: EM133070544

Questions Cloud

Determine the realized gross profit : In 2018, the company wrote-off installment receivable of 120,000 from 2016 sales and 80,000 from 2017 sales. Determine the realized gross profit
What is the afn for the coming year : Data for use in your forecast are shown below. Based on the AFN equation, what is the AFN for the coming year? Dollars are in millions.
Solve the problem with financial calculator : List the keystrokes used to solve the problem with financial calculator: I am 25 years old and plan on retiring at age 65. I spend $2.50 each-and-every day on m
What will be of the cake business to you and the customers : How to make a SME (small medium enterprise) like a cake business unique and innovative? impact/benefits
Construct a four-step binomial tree to price barrier option : A stock is currently traded at $60. The standard deviation of the stock return is 30% per annum. The riskless interest rate is 5% per annum.
Explain the exchange rates and inflation rates : Sunsuke Nakata is a foreign exchange dealer for a US bank. She wishes to consider whether Purchasing Power Parity holds between the US$ and the Japanese yen.
Prepare the journal entries on december : Reno paid the amount previously written off. Prepare the journal entries on December 31, 2021, May 11, 2022, and June 12, 2022
What is predicted to be the bond new price : A bond has a duration of 5.1, a yield-to-maturity of 4.97%, and convexity of 92.46. If the current bond's price is $1,151.45 what is predicted to be the bond's
How transferable is the grameen bank : How transferable is the Grameen Bank's business model? Would it work in your country? How important are the cultural values of Bangladeshi society to its succes

Reviews

Write a Review

Finance Basics Questions & Answers

  Financial reporting and analysis

Finance is about Gunns Ltd, a company in dealing with forestry products in Australia. The company has also been listed in Australian Stock Exchange. As many companies producing forestry products, even Gunns Ltd is facing various problems. Due to the ..

  A report on financial accounting

This report is specific for a core understanding for Financial Accounting and its relevant factors.

  Describe the types of financial ratios

Describe the types of financial ratios and other financial performance measures that are used during venture's successful life cycle.

  Differences between sole proprietorship and corporation

Briefly describe the major differences between a sole proprietorship and a corporation

  Prepare a cash budget statement

Calculate the expected value of the apartment in 20 years' time. What is the mortgage loan repayment at the beginning of each month

  What are the implied interest rates

What are the implied interest rates in Europe and the U.S.?

  State pricing theory and no-arbitrage pricing theory

State pricing theory and no-arbitrage pricing theory

  Small business administration

Identify the likely stage for each venture and describe the type of financing each venture is likely to be seeking and identify potential sources for that financing.

  Effect of financial leverage

The Effect of Financial Leverage and working capital management

  Evaluate the basis for the payment to the lender

Evaluate the basis for the payment to the lender and basis for the payment to the company-counterparty.

  Importance of opps, ipps, mpfs and dmepos

Research and discuss the differences and importance of : OPPS, IPPS, MPFS and DMEPOS.

  Time value of money

Time Value of Money project

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

Submit Assignment

Academics

Major Subjects

Majors

Get In Touch

whatsapp: +1-415-670-9521

Phone: +1-415-670-9521

Email: [email protected]

TERMS & POLICIES

HELP & SUPPORT

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd