Question: 5. Call Options Consider a 1-period binomial model with R =1.02, S 0=100, u =1/ d =1.05. Compute the value of a European call option

5.

Call Options

Consider a 1-period binomial model with R=1.02, S0=100,

u=1/d=1.05. Compute the value of a European call option on the stock

with strike K=102. The stock does not pay dividends.

Please submit your answer rounded to two decimal places. So for example, if your answer is 3.4567then you should submit an answer of 3.46.

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