12.9. A stock price is currently $50. It is known that at the end of two months...

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12.9. A stock price is currently $50. It is known that at the end of two months it will be either

$53 or $48. The risk-free interest rate is 10% per annum with continuous compounding.

What is the value of a two-month European call option with a strike price of $49? Use no-arbitrage arguments.

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Fundamentals Of Futures And Options Markets

ISBN: 9780134083247

9th Edition

Authors: John Hull

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Question Posted: Jul 26, 2024 08:00 AM

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12.9. A stock price is currently $50. It is known that at the end of two months...

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Fundamentals Of Futures And Options Markets

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