Question
A European call has strike K= 7 and expires in two time-steps. In Cox-Ross-Rubinstein notation, the underlying asset has S= 10, u= 1.3 and d=1/u.
A European call has strike K= 7 and expires in two time-steps. In Cox-Ross-Rubinstein notation, the underlying asset has S= 10, u= 1.3 and d=1/u. If the return is R= 1.06 over one time-step, what is the premium of this call?
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Analysis For Financial Management
Authors: Robert C. Higgins
12th International Edition
1260091910, 9781260091915
