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Currently, a call option on Bayou stock is available with an exercise price of $100 and an expiration data one year from now. Assume that
Currently, a call option on Bayou stock is available with an exercise price of $100 and an expiration data one year from now. Assume that the price of Bayou Corporation stock today is $100. Furthermore, it is estimated that Bayou stock will be selling for other $67 or $141 in one year. Also, that the annual risk-free Interest rate on a one-year Treasury 10 percent, continuously compounded. Therefore, the will pay 5100 (0.1) or 511025 Find the call option premium uning the Binomial model. For example, you find that the call option premium a 1245 type this sumber in the box below
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