Instructor: Anjali Chaudhary Consider a European call option on a non-dividend paying stock where the stock price is $40, the strike price is $40, the risk-free rate is 4% per annum, the volatility is 30% per annum, and the time to maturity is six months. a) Calculate the value of the option using a 12-step binomial tree. b) Calculate the value of the American call option with the same above data using the 12-step binomial tree. Note: You can use different software available like MATLAB, DerivaGem or Excel. Dont forget to submit the hard-copy along with the soft-copy of the used software. (You can email the soft-copy)
Deadline: 23rd February, 2015 before 10:30 am.
Note: This is an individual assignment. No form of plagiarism will be