Consider a two-period, two-state world. Let the current stock price be $35 and the risk-free rate be 5%. In each period, the stock price can either go up by 10% or down by 10%. A call option expiring at the end of the second period has an exercise price of $30.Find the stock price sequence.Determine the possible prices of the call at expiration.Find the possible prices of the call at the end of the first period.What is the current price of the call?What is the initial hedge ratio?
Hi, I’m a Moderator for this topic and I wonder whether you’re still waiting for an answer. If you are, please let me know and I will do my best to find a Professional to assist you right away. If not, feel free to let me know and I will cancel this question for you. Thank you!
Yes I am this is for a graduate course
Hi,Thank you for your reply. Sometimes, finding the right Professional can take a little longer than expected and we thank you greatly for your understanding. We’ll be in touch again shortly.
http://www.keepandshare.com/doc/4189965/derivative-excel-spreadsheet-60k?da=yLet me know if you need any additional assistance. Please rate my answer as "great service" so I can be compensated for my time in calculating your answer. Thanks!
Thank you for your question - please rate my answer as "Great service" so that I can be compensated for your answer. Please note that even though your deposit has been retained, I won't get paid until you rate the answer. If you have difficulties rating the answer, please let me know so I can alert tech support.