Question
A stock with a current price of $70 has a call option available with a strike price of $75. The stock will move up by
A stock with a current price of $70 has a call option available with a strike price of $75. The stock will move up by a factor of 0.87 or down by a factor of 0.72 each period for the next two periods and the risk-free rate is 1.8 percent. What is the price of the call option today?
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Restructuring And Innovation In Banking
Authors: Claudio Scardovi
1st Edition
331940203X, 978-3319402031
