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Consider the binomial tree below for a share of stock. What is the fair price of a European call option? Up step size, u =
Consider the binomial tree below for a share of stock. What is the fair price of a European call option? Up step size, u = 1.2808 Expiration 1 year Down step size, d = 0.7808 Exercise Price = 50 82.02 Risk free = 5% C.C. per year 64.04 50.00 50.00 39.04 30.48 Node Time: 0.00 0.50 1.00
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