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Suppose that security A is worth 100 today and worth 90 or 110 tomorrow. Security B is worth 100 today and worth 80 or 120

Suppose that security A is worth 100 today and worth 90 or 110 tomorrow. Security B is worth 100 today and worth 80 or 120 tomorrow. Assuming that the securities' prices move in the same direction, find the price of a call option on A with an exercise price of 100: a. If there is no riskless bond b. If there is a riskless bond with a rate of interest of 5%.image text in transcribed

1. Suppose that security A is worth 100 today and worth 90 or 110 tomorrow. Security B is worth 100 today and worth 80 or 120 tomorrow. Assuming that the securities' prices move in the same direction, find the price of a call option on A with an exercise price of 100: a. If there is no riskless bond b. If there is a riskless bond with a rate of interest of 5%

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