Question: A partial two-stage binomial tree is shown below for a European call option with a strike price of $155, spot price of $154, and volatility

A partial two-stage binomial tree is shown below for a European

A partial two-stage binomial tree is shown below for a European call option with a strike price of $155, spot price of $154, and volatility (o) of 20%. The risk-free rate is 1% per annum compounded continuously. What is the option price (f), 3-months from now (t-3-months)? TO Tumo Temo Sw=188.10 +33.10 Sy=170.20 11-02 P 0.4439 So 154 1 S=154,00 40 (1-p0.5561 Sy=139.34 40 Sar"126.08 foro O foss O 5 fu s 7.5 O 7.5

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