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MMLU-Pro / 135 / For a two-period binomial model for stock prices, you are given: (i) Each period…

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question

For a two-period binomial model for stock prices, you are given: (i) Each period is 6 months. (ii) The current price for a nondividend-paying stock is

$70.00. (iii) u =1.181, where u is one plus the rate of capital gain on the stock per period if the price goes up. (iv) d = 0.890 , where d is one plus the rate of capital loss on the stock per period if the price goes down. (v) The continuously compounded risk-free interest rate is 5%. What is the current price of a one-year American put option on the stock with a strike price of $

80.00.

Plain-text mathematical notation (without MathML)

For a two-period binomial model for stock prices, you are given: (i) Each period is 6 months. (ii) The current price for a nondividend-paying stock is $70.00. (iii) u =1.181, where u is one plus the rate of capital gain on the stock per period if the price goes up. (iv) d = 0.890 , where d is one plus the rate of capital loss on the stock per period if the price goes down. (v) The continuously compounded risk-free interest rate is 5%. What is the current price of a one-year American put option on the stock with a strike price of $80.00.

Original LaTeX notation

For a two-period binomial model for stock prices, you are given: (i) Each period is 6 months. (ii) The current price for a nondividend-paying stock is $70.00. (iii) u =1.181, where u is one plus the rate of capital gain on the stock per period if the price goes up. (iv) d = 0.890 , where d is one plus the rate of capital loss on the stock per period if the price goes down. (v) The continuously compounded risk-free interest rate is 5%. What is the current price of a one-year American put option on the stock with a strike price of $80.00.

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upstream_id / Original problem ID: 135
task_id: 0214b2b6-fdaa-524c-878a-d640688e1e72
task_key: default--test--135
task_revision_id: 1
config / split: default / test

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