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Call Options Consider a 11-period binomial model with interest R=1.02, S0=100, u=1.05 d=1/u. Compute the value of a European call option on the stock with

Call Options

Consider a 11-period binomial model with interest R=1.02, S0=100,

u=1.05 d=1/u. Compute the value of a European call option on the stock

with strike K=102. The stock does not pay dividends.

When you construct the replicating portfolio for the option in the previous question how many dollars do you need to invest in the cash account?

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