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Binomial Tree Consider a call option on a stock. The call option will expire in 6 months. The current stock price is S 0 =$60,

Binomial Tree

Consider a call option on a stock. The call option will expire in 6 months. The current stock price is S₀ =$60, and the strike price of the call option is X. We know that

50 < X < 80

At expiration date, the stock price can either be S_T =$80 or it can be S_T =$50. The 6-month risk free interest rate is 0%.

If the value of the call option today is c=$5, what is the strike price X?

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