00:02
So use derivagem to create a 4th period binomial tree for this option.
00:07
So first we have to create a 4th period binomial tree for this option.
00:14
So first is the open derivagem, open derivagem, go to equity, equity, fx index futures, then choose equity, then we are entering the parameters which are stock price 200, volatility 30, risk free rate 5%, time of expiration 1, strike price 200, exercise price 190, tree steps 4.
01:05
Click on put button, click on put button, this will generate the 4th period binomial tree.
01:16
This will generate the 4th period binomial tree.
01:24
Then we have to calculate the probability of early exercise, 1 minus probability of remaining in the money at maturity, of remaining in money at maturity...