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The share price of ACC is 807 on September 1. Two-month call options on ACC with an exercise price of 840 are available. The volatility
The share price of ACC is 807 on September 1. Two-month call options on ACC with an exercise price of 840 are available. The volatility of ACC stock price is estimated at 20%, and the risk-free rate is 8%. a. What will be the Black-Scholes price of this call option? b. If this call option is trading at 31.40, compute the implied vol. c. Construct a two period Binomial tree for ACC, which can be later used to price this option.
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