Question
Consider a1-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
Consider a1-period binomial model withR=1.02,S0=100, u=1/d=1.05. Compute the value of a European call option on the stock
with strikeK=102. The stock does not pay dividends.
Please submit your answer rounded to two decimal places. So for example, if your answer is3.4567
then you should submit an answer of3.46.
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Fundamentals of Multinational Finance
Authors: Michael H. Moffett, Arthur I. Stonehill, David K. Eiteman
5th edition
205989756, 978-0205989751
