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A stock price is currently $60. Over each of the next two three-month periods it is...

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Finance

A stock price is currently $60. Over each of the next twothree-month periods it is expected to up by 6% or down by 5%. Therisk-free interest rate is 5% per annum with continuouscompounding. What is the value of a six-month European call optionwith a strike price of $61

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There are three parameters of Option Binomial Pricing Modelup factor udown factor dprobability Pup factor and down factor used to    See Answer
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A stock price is currently $60. Over each of the next twothree-month periods it is expected to up by 6% or down by 5%. Therisk-free interest rate is 5% per annum with continuouscompounding. What is the value of a six-month European call optionwith a strike price of $61

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