Question
Call Options Consider a 1-period binomial model with R=1.02, S0=100, u=1/d=1.05. Compute the value of a European call option on the stock with strike K=102.
Call Options Consider a 1-period binomial model with R=1.02, S0=100, u=1/d=1.05. Compute the value of a European call option on the stock with strike K=102. The stock does not pay dividends.
Please submit your answer rounded to two decimal places. So for example, if your answer is 3.4567 then you should submit an answer of 3.46.!!!!
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Quantitative Financial Risk Management
Authors: Constantin Zopounidis, Emilios Galariotis
1st Edition
1118738187, 978-1118738184
