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2 Valuing a call option Current stock price: $100 Exercise price: $100 After one year, the stock price will be either $50 or $200 Risk

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2 Valuing a call option Current stock price: $100 Exercise price: $100 After one year, the stock price will be either $50 or $200 Risk free rate: 1% annual Life of call option: 1 months Assuming the above binomial scenano, you will value the above call option by constructing a synthetic security that mimics the above option. Answer the following questions as you value this option . What is the delta of the call option? B. How much will you borrow to finance your investment in the stock? C What is the value of the call option? D What is the value of the put option, assuming the same values for the variables

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