Question
For the two-period (each period is 6 months) binomial option pricing model, 0=50, , and the annual interest rate with semiannual compounding is 6%. =52.5,
For the two-period (each period is 6 months) binomial option pricing model, 0=50, , and the annual interest rate with semiannual compounding is 6%. =52.5, =48.0Calculate the probability (p) and the stock price moving up in one time step? ANSWER IS 0.7777
ANSWER THIS QUESTION: Continuing with the previous problem, what is the value of a call option with strike price $75 and time-to-maturity = year.
(a) $1.89 (b) $1.83(c) $2.83 (d) None of the above(e) Cannot be calculated
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Corporate Finance
Authors: David Hillier
4th Edition
1526848090, 9781526848093
