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Suppose stock of the MCG company is currently trading at $50 and that in one year from now, the stock price a year from now
Suppose stock of the MCG company is currently trading at $50 and that in one year from now, the stock price a year from now will either be $55 or $47.50. Assume the one-year risk free rate is 5%. According to the binomial option pricing model, what is the value of an at-the-money call option with one year to expiration
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Advanced Bond Portfolio Management
Authors: Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet
1st Edition
0471678902, 9780471678908
