Method for improving the accuracy of option price, Corporate Finance

Assignment Describe in detail one method for improving the accuracy of option prices and the first two 'Greeks', Delta and Gamma, calculated using the binomial tree. You should give numerical examples to demonstrate the improvement (if any) in the cases of an American put option on a non-dividend- paying stock when the option is (a) in the money; (b) at the money; and (c) out of the money.

Posted Date: 2/22/2013 12:54:20 AM | Location : United States







Related Discussions:- Method for improving the accuracy of option price, Assignment Help, Ask Question on Method for improving the accuracy of option price, Get Answer, Expert's Help, Method for improving the accuracy of option price Discussions

Write discussion on Method for improving the accuracy of option price
Your posts are moderated
Related Questions
how to calculate duration of a portfolio by using the average maturity, average coupon rate and average yield of maturity?

Ask que We are evaluating a project that costs $800,000, has an eight-year life, and has no salvage value. Assume that depreciation is straight-line to zero over the life of the pr

Who regulates the stock market and the reason for the need for such standard and heavy regulations

The tax rates are as shown. Your firm currently has taxable income of $79,000. How much additional tax will you owe if you increase your taxable income by $30,000? Taxable Income

David Abbot is interested in purchasing a bond issued by Sony. He has obtained the following information on the security: Par value $1000, coupon interest rate 6.0%, corporate tax


Question: Car Maker Ltd is a multinational. In one of the countries where it is present, current legislation makes it compulsory for companies to pay a gratuity lump sum at ret


The managing directors of three profitable listed companies discussed their company’s dividend policies at a business lunch. Company A has deliberately paid no dividends for the p

CF&G will account nearly 40% of the marks for your Project. In order to do well in this part of the assignment you will have: • Shown the ability to apply SVA analysis comprehen