Question
The spot price of Asset X is 12 at t=0 and it has the potential to go up by 50% in the next 3-month or
The spot price of Asset X is 12 at t=0 and it has the potential to go up by 50% in the next 3-month or down by 50%. Using the 1-step Binomial Pricing Model, a call option on Asset X with a strike price of 7.00 and a continuously compounded interest rate of 6%, will be valued at
| A. | 5.38 at t=0. | |
| B. | 5.63 at t=0. | |
| C. | 5.58 at t=0. | |
| D. | 5.73 at t=0. |
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Cases In Healthcare Finance
Authors: Louis C. Gapenski
3rd Edition
1567932444, 9781567932447
