Question
Find the value of1-period call option on $12,000 with a strike of 9,000.i = 12%, i$ = 6%, S0(/$) = 0.7123/$.In the next year, there
Find the value of1-period call option on $12,000 with a strike of 9,000.i = 12%, i$ = 6%, S0(/$) = 0.7123/$.In the next year, there are two possibilities: S1(/) = 0.8500/$or S1(/) = 0.6200/$.
Use 1 step binomial model.
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Derivatives Markets
Authors: Robert L. McDonald
2nd Edition
032128030X, 978-0321280305
