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216
16.If the volatility of a non-dividend-paying stock is 20% per annum and a risk-free rate is 5% per annum, which of the following is closest to the Cox, Ross, Rubinstein parameter p for a tree with a three-month time step?
A.0.50
B.0.54
C.0.58
D.0.62
A.0.50
B.0.54
C.0.58
D.0.62
The formula for p is
=0.538
Flashcard info:
Author: CoboCards-User
Main topic: Finance & Investment
Topic: Derivatives
Published: 27.10.2015