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Determine the value of a firms call option using the binomial approach by creating a riskless hedge given the following information. A firms current stock
Determine the value of a firms call option using the binomial approach by creating a riskless hedge given the following information. A firms current stock price $15/share. Options exist that permit the holder to buy one share of the firms stock at an exercise price of $15. These options expire in 6 months, at which time the firms stock will be selling at one of two prices, $10 or $20. The risk free rate is 6%. What is the value of this firms call option?
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