Question: Consider a1 -period binomial model with R =1.02 , S 0 =100 , u =1/ d =1.05 . Compute the value of a European call

Consider a1

-period binomial model withR=1.02

,S

0

=100

,

u=1/d=1.05

. Compute the value of a European call option on the stock

with strikeK=102

. The stock does not pay dividends.

Please submit your answer rounded to two decimal places. So for example, if your answer is3.4567

then you should submit an answer of3.46

.

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