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Have been determined : The price of a particular asset follows a binomial model and today is priced at $100. The factor d is 80%
Have been determined : The price of a particular asset follows a binomial model and today is priced at $100. The factor d is 80% of the factor u and is estimated that if the Asset moves up 8 times in 12 transactions (12 periods) will be valued at $94.2080. The probability of going up is 75%. a. Calculate the values of the factor " u " and " d ". b. Show a diagram with the binomial development of the price for 2 periods. c. How Many times the Asset will reach the value $94.2080 ? d. Calculate the probability of exercising a Call option with Strike price of $140 e. Calculate the expected value of the Call option
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