标题: EU vs American Put option [打印本页] 作者: AndyNZ 时间: 2011-7-11 19:20 标题: EU vs American Put option
Consider a two-period binomial model. The current stock prices is $50 and in each of the next 2 years, the stock price can increase or decrease by 20%. Assume risk free is 5.1%. Suppose that the prices of a European put struck at $52 at each node are given by P0=4.1923; Pd=9.4636; Pu=1.4147; Puu=0; Pud=4 and Pdd=20. Then, at time zero (P0), what is the price of an American Put struck at $52?
a) 4.19
b) 4.77
c) 5.09
d) 6.01
e) None of the above.
It is clear that it cannot be 4.19 because the price of an American style put has to be higher than the European Put.作者: profil 时间: 2011-7-11 19:20
nvm
Edited 1 time(s). Last edit at Thursday, March 10, 2011 at 08:37PM by passme.
