Question
Suppose that, in each period, the cost of a security either goes up by a factor of u = 2 or down by a factor
Suppose that, in each period, the cost of a security either goes up by a factor of u = 2 or down by a factor d = 1/2. Assume the initial price of the security is $100 and that the interest rate r is 0.
What is the expected value of the payoff of the call option?
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Financial Ratio Analysis
Authors: Andrew P.C.
1st Edition
1973493381, 978-1973493389
