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Consider a stock with current price S=100 and standard deviation of annual returns =30%. Stock...

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Accounting

Consider a stock with current price S=100 and standard deviation of annual returns =30%. Stock does not pay any dividends. Consider a 1-year European call option on this stock with strike price of $95. The risk-free interest rate is 8%.

a) Find the value of this option using Cox-Ross-Rubenstein 2-step binomial option pricing model.

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