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The stock currently sells for 110. Given: The continuous dividend rate of the stock is 0.035. The continuously compounded risk-free interest rate is 0.08. A
The stock currently sells for 110. Given:
The continuous dividend rate of the stock is 0.035.
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The continuously compounded risk-free interest rate is 0.08.
A 6-month European call option on the stock is modeled with a one-period binomial tree with u = 1.2 and d = 0.8. The resulting premium is 16.61.
Calculate the strike price.
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