A stock is currently priced at $77 and will move up by a factor of 1.50 or down by a factor of .88 over the
A
stock is currently priced at $77 and will move up by a factor of 1.50 or down by a factor of .88 over the next period. The risk-free rate of interest is 4.2 percent and the strike price is $78.
a. What is the up price
b. What is the down price
c. What is the value of the call option in up price
d. What is the value of the call option in down price
e. What is the delta
f. What is the B
g. What is the price of the call option today
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Authors: Louis C. Gapenski
2nd Edition
1567931650, 978-1567931655
