Answer question 57 when u = 1.20. How does a change in the amount of increase if
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Answer question 57 when u = 1.20. How does a change in the amount of increase if the stock goes up affect the value of the call option?
Question 57
You are given the following information about a stock:
Calculate the value of the call option if the stock goes up in 3 out of the 5 months.
Transcribed Image Text:
S = $100 X = $101 r = .005 n = 5 u= 1.10 d = .95 Price of stock Exercise price for a call option on the stock Interest rate per month Number of months until the option expires Amount of increase if stock goes up Amount of decrease if stock goes down
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Related Book For
Statistics For Business And Financial Economics
ISBN: 9781461458975
3rd Edition
Authors: Cheng Few Lee , John C Lee , Alice C Lee
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