hard · Quantitative Finance
A stock trades at $100. A 2-step binomial model over 1 year (T=1, Δ t=0.5) with σ=20% and r=5% yields u=1.1519, d=0.8681, and p=0.55389.
What is the risk-neutral value of a European put with a strike of $100?
- $4.67
- $10.72
- $3.15
- $5.57
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