Ten-step binomial option pricing model

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Consider a 6-month European put option with strike price of $2050 on a stock index if the current index value is $2000. The dividends paid by the stock included in the index can be approximated by a continuously compounded dividend yield of 10%. The risk-free interest rate is 8%. The standard deviation of the index price appreciation is ?SD=30%.

Using Excel, find the value of this option using Cox-Ross-Rubenstein 10-step binomial option pricing model

Reference no: EM133110137

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