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Alphabet, Inc. (Ticker: GOOG) is currently trading at $1,045 per share and pays no dividends. The volatility of its stock return is 25%. The risk-free
Alphabet, Inc. (Ticker: GOOG) is currently trading at $1,045 per share and pays no dividends. The volatility of its stock return is 25%. The risk-free rate is 2.50%, the European call option strike price is $1,020, and there are 3 binomial periods. Assume you are trying to value a 1-year option.
9. What is the value of the $1,020-strike European call option? Find the call option values at each node in the binomial tree. Show your work.
10. What is the Black-Scholes European call option price?
11. What is the delta of the European call option?
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