Question
A stock's price is $50.Over each of the next two three-month periods it can go up 6% or down 5%.The annual risk-free rate is 5%.
A stock's price is $50.Over each of the next two three-month periods it can go up 6% or down 5%.The annual risk-free rate is 5%. The value of a six-month European call option with a strike price of $51 is closest to
(This can be solved as a 2-period BOPM)
$2.49
$1.94
$0.84
$1.64
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Fundamentals of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
13th edition
978-1285027371, 128502737X, 978-1133541141
