Given the following option pricing parameters: stock: $60 strike: $60
Given the following option pricing parameters: Stock: $60 Strike: $60 Volatility: 20% per annum Maturity: 180 days (assume 360 day-year) Risk-free rate: 9% per annum Dividend yield: 12% per annum (a) Price an American Call option with a 5-step Binomial Tree. (b) Price a Call option again with the Black-Schole Option Pricing Model. (c) Analyse the reasons for the difference in Call option premiums […]