What is the risk-neutral probability of an up move

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The current share price of Company A is $10. The annual sdandard deviation of the share price is 0.18. The continuously compounded annual risk-free rate 4%.

a) What is the risk-neutral probability of an up move?

 

b) Compute the value of a two - year American put option with stake price of $12

Reference no: EM13769111

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