What is the risk-neutral probability of an up movement (p) in a two-step binomial model used to value an two-year American-style put option on a stock with a volatility of 38% when the risk-free rate is 4.0%; i.e., each step is one year? | Financial Risk Manager Part 1 Quiz - LeetQuiz
Financial Risk Manager Part 1
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What is the risk-neutral probability of an up movement (p) in a two-step binomial model used to value an two-year American-style put option on a stock with a volatility of 38% when the risk-free rate is 4.0%; i.e., each step is one year?