A stock, priced at $ 100 at Spot(t = 0)} can go up to $ 120 or down to $ 90 next month following a
A stock, priced at $ 100 at Spot(t = 0)} can go up to $ 120 or down to $ 90 next month following a binomial model. a) Find the risk neutral probability for the market. b) Build a binomial tree with the stock prices. c) Using a binomial tree approach price a European Call Option with maturity in three months and strike price $ 100. The monthly interest rate is 1% ( consider monthly steps)
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Authors:Deborah Hughes Hallett, Deborah Hughes Hallet, Andrew M Gleason, William G McCallum, Daniel E Flath, Patti Frazer Lock, David O Lomen, David Lovelock,
