6. Two-step binomial model (S22-2) Buffelheads stock price is $220 and could halve or double in each
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6. Two-step binomial model (S22-2) Buffelhead’s stock price is $220 and could halve or double in each six-month period (equivalent to a standard deviation of 98%). A one-year call option on Buffelhead has an exercise price of $165. The interest rate is 21% a year.
a. What is the value of the Buffelhead call?
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Related Book For 
Principles Of Corporate Finance
ISBN: 9781264080946
14th Edition
Authors: Richard Brealey, Stewart Myers, Franklin Allen, Alex Edmans
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