Question
A stock is currently selling for $51. In one period, the stock will move up by a factor of 1.12 or down by a factor
A stock is currently selling for $51. In one period, the stock will move up by a factor of 1.12 or down by a factor of 0.65. A call option with a strike price of $56 is available. If the risk-free rate of interest is 2.5 percent for this period, what is the value of the call option? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
Value of call option?
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The Risk Modeling Evaluation Handbook Rethinking Financial Risk Management Methodologies In The Global Capital Markets
Authors: Greg Gregoriou, Christian Hoppe, Carsten Wehn
1st Edition
0071663703, 978-0071663700
