Mathematical finance

Exercises O 1. Suppose you have European call on a stock with: * Current stock price is $50 *There is one period to go *Stock price will either go up to $75 or go down to $25 *There are no cash dividends *The strike price is $50 *One period borrowing and lending rate is 10% compound annually T = lyear evaluate the price of this European call option. 2. Suppose the current price of NNS stock is $100 per share. In of the next two years, the stock price will either increase by 20% or decrease by 20%. The 5% one-year risk-free rate of interest will remain constant. Calculate the price of a two-year European put option on NNS stock with a strike price $100 by using the Binomial Option pricing model? Exercises O 1. Suppose you have European call on a stock with: * Current stock price is $50 *There is one period to go *Stock price will either go up to $75 or go down to $25 *There are no cash dividends *The strike price is $50 *One period borrowing and lending rate is 10% compound annually T = lyear evaluate the price of this European call option. 2. Suppose the current price of NNS stock is $100 per share. In of the next two years, the stock price will either increase by 20% or decrease by 20%. The 5% one-year risk-free rate of interest will remain constant. Calculate the price of a two-year European put option on NNS stock with a strike price $100 by using the Binomial Option pricing model