A share price is currently $45. At the end of each of the next two months, it
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A share price is currently $45. At the end of each of the next two months, it will change by going up $2 or going down $2. Calculate the value of a two month European call option with exercise price $44. The risk-free interest rate is 6% p.a. with continuous compounding. You must use both the methods of setting up the delta-hedged portfolio, and the risk neutral probability method.
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Thorough explanation The value of the call option is 417 To calculate the value of the call option w...View the full answer
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