We model the movement of stock prices using a Binomial tree.Each branch of the tree spans a time horizon of 2 months.The proportional down movement on the tree (d) is 0.81. What is the volatility of the stock implied by d? If your answer is (say) 40%, enter 0.40.数值题
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You are pricing a derivative using the risk-neutral approach on a Binomial tree.The length of each branch in the tree (delta t) is 5 months.The riskfree rate of interest is 6% per annum.The proportional up movement in stock price is u = 1.3. Calculate the risk-neutral probability (p*) that share price will move up. Note: if the probability is (say) 51.23%, enter 0.5123
The volatility (sigma) of a stock is 69% per annum.We will model stock-price movements using a Binomial tree, where each branch of the tree has a step length (delta t) of 4 months. Calculate the proportion up movement (u) that applies to each branch of the tree. Your answer should have at least two decimal places.
A project has a required return of 12.6 percent, an initial cash outflow of $42,100, and cash inflows of $16,500 in Year 1, $11,700 in Year 2, and $10,400 in Year 4. What is the net present value?
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