Question
A stock price is currently $60, and it is known that at the end of six months it will be either $55 or $65. The
A stock price is currently $60, and it is known that at the end of six months it will be either $55 or $65. The risk-free rate is 10% per annum with continuous compounding. What is the value of a six-month European call option with a strike price of $58?
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International Financial Management
Authors: Jeff Madura
2nd Edition
0314430296, 978-0314430298
