17. Zenith Company's share is currently selling for *60. It is expected that after two months the...
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17. Zenith Company's share is currently selling for *60. It is expected that after two months the share price may either increase by 15 per cent or fall by 10 per cent. The risk-free rate is 9 per cent per annum. What should be the value of a two-month European call option with an exercise price of 765? What is the value of a two-month European put option with an exercise price of *65?
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