Question
Suppose the current price of IBM stock is $120, and it will be either $250 or $100 at the end of three months. You observe
Suppose the current price of IBM stock is $120, and it will be either $250 or $100 at the end of three months. You observe that a European call with a strike price of $200 and a maturity of three months is traded at $7. Using the above information to answer Questions 6-8.
6.What is the price of a put option with a strike price of $200 and a maturity of three months?
7.What is the price today of a three-month riskless bond with a face value of 200?
8.What is the risk neutral probability of the state in which future IBM stock price is $250? Pls round your answer to 2 decimal places, e.g., 0.12.
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