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The spot price of SPY is currently (So= $200) the volatility of SPY is 60% (sigma= 0.060) We are onvested on valuing SPY option at
The spot price of SPY is currently (So= $200) the volatility of SPY is 60% (sigma= 0.060) We are onvested on valuing SPY option at the end of 6 months (T= 6/12= 0.5). The risk free rate with continuous compounding is 4% per amum (r= 0.04) Apply Arbitrage Portfolio approach with one step binomial tree and calculate de value of a six month European call option on SPY with an exercise/strike price of $220 (K=$220)
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