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Shares in LMN plc currently trade at 9.45. There is a 55% probability that the market price will be 12.00 in 6 months' time and
Shares in LMN plc currently trade at 9.45. There is a 55% probability that the market price will be 12.00 in 6 months' time and a 45% chance that the market price will be 8.00. The discount rate is 6.00% per annum. Using a single-period binomial valuation approach, what is the value of a 6 month call option on LMN shares with a strike price of 9.45? a) 1.32 b) 1.36 c) 1.4 d)1.54
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