Question
Current stock price So=$100 Stock price can take only two possible values at option expiration: Go up by u=1.5 with a probability of p=0.8
Current stock price So=$100 Stock price can take only two possible values at option expiration: Go up by u=1.5 with a probability of p=0.8 Do down by d=0.6 with a probability of (1-p)=0.2 X=$120 T=1 period (expiration date) R=5% per period What is the call option price Co?
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