Question
Q17. Consider a stock currently priced (So) at SAR 155. One period later it can go up and down by 20% to (Su) SAR 186
Q17. Consider a stock currently priced (So) at SAR 155. One period later it can go up and down by 20% to (Su) SAR 186 or (Sd) SAR 124 respectively and risk-free rate is 10 percent. Assume a call option with an exercise price of SAR 155 and probability of up move(p) is 0.75. Calculate the current/theoretical value of the option using one period binomial model?
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Financial Management Principles And Applications
Authors: Sheridan Titman, Arthur Keown, John Martin
13th Global Edition
1292222182, 978-1292222189
