A stock price is currently 25 the interest rate is 10 with


A stock price is currently $25. The interest rate is 10% (with continuous compounding). Volatility is 15% per annum. In 6 months time, an exotic derivative pays off S2.5, where So.s is the stock price after 6 months. What is the value of this derivative? Use a two step binomial tree to value it.

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Financial Management: A stock price is currently 25 the interest rate is 10 with
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