Question
Consider a call option with a strike price of $65.00 on an underlying priced at $60.00. During the coming period, the underlying could go up
Consider a call option with a strike price of $65.00 on an underlying priced at $60.00. During the coming period, the underlying could go up by 30% or down by 25%. The risk-free rate is 1.20%.
Using the one-period binomial options pricing model, rounded to the nearest cent, the call premium is $_______________?
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Introduction To Derivatives And Risk Management
Authors: Don M. Chance, Robert Brooks
10th Edition
130510496X, 978-1305104969
