Question: Consider a 2-period CRR model. Let S(0) = 100 u = 1.30 d = .80 K = 110 r = .10 Find the price of

Consider a 2-period CRR model. Let

S(0) = 100

u = 1.30

d = .80

K = 110

r = .10

Find the price of a European call option, C(0), written on the stock using the risk-neutral probabilities. Show the binomial tree and the payoffs as part of your answer.

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