For a binomial stock price model, you are given: (i) The length of each period is 1

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For a binomial stock price model, you are given:

(i) The length of each period is 1 year.

(ii) The current price of a nondividend-paying stock is 100.

(iii) u = 1.15, where u is one plus the percentage change in the stock price per period if the price goes up.

(iv) d = 0.95, where d is one plus the percentage change in the stock price per period if the price goes down.

(v) The continuously compounded risk-free interest rate is 10%.

Calculate the price of an up-and-in 100-strike 6-month European call option with a barrier of 110.

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Authors: Ambrose Lo

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Question Posted: Dec 07, 2023 06:08 AM

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For a binomial stock price model, you are given: (i) The length of each period is 1

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