(a) Use a 4-step binomial tree to price a call option with these particulars: S 0 =...
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(a) Use a 4-step binomial tree to price a call option with these particulars: S0 = 36, K = 34, r = 0.02, σ = 0.3, T = 4 weeks (28 days).
(b) What is the Black-Scholes price? What is the probability the option finishes in-the-money?
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To price a call option using a 4step binomial tree we can follow these steps Given parameters Initial stock price S0 36 Strike price K 34 Annual riskf...View the full answer
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