A partial two-stage binomial tree is shown below for a European call option with a strike...

 

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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)? T=Q S, 154 f p-0.4439 (1-P)-0.5561 T-3mo $ 170.20 S-139.34 40 (1-p) (1-p) T-6mo S188.10 33.10 S 154.00 10 S 126.08 for 0 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)? T=Q S, 154 f p-0.4439 (1-P)-0.5561 T-3mo $ 170.20 S-139.34 40 (1-p) (1-p) T-6mo S188.10 33.10 S 154.00 10 S 126.08 for 0

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