Question
A stock is current $100. It is know that at the end of four months it will be either $ 105 or $90. The risk-
A stock is current $100. It is know that at the end of four months it will be either $ 105 or $90. The risk- free interest rate is 6% per annum with continuous compounding. What is the value of a four-month european call option with a strike price of $96?
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Cases In Financial Reporting
Authors: Ellen Engel, D. Eric Hirst, Mary Lea McAnally
7th Edition
1934319791, 9781934319796
