Q) A stock price is currently $90. Over each of the next two 6-month periods, it is expected to go up by 10% or down
Q) A stock price is currently $90. Over each of the next two 6-month periods, it is expected to go up by 10% or down by 10%. The risk-free interest rate is 8% per annum with continuous compounding. What is the value of a 1-year European call option with a strike price of $90?
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Authors: Maurice D Levi
5th Edition
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