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Is there anyone who knows how to solve this problem?
In a CRR binomial model, the interval unit is the week and the maturity of an
european ATM option is 20 weeks. The interest rate of the market is i = 0.0315.
The option has price S = 8.02352 and the price of the underlying is 120, while the
probability of exercise of a put written on the same underlying, with the same strike and
maturity is 0.411901. Find the volatility of the underlying.
Thanks for helping.
In a CRR binomial model, the interval unit is the week and the maturity of an
european ATM option is 20 weeks. The interest rate of the market is i = 0.0315.
The option has price S = 8.02352 and the price of the underlying is 120, while the
probability of exercise of a put written on the same underlying, with the same strike and
maturity is 0.411901. Find the volatility of the underlying.
Thanks for helping.
