Question: Let S = $ 1 0 0 , K = $ 9 5 , sigma = 3 0 % , r = 8 %

Let S = $100, K = $95,\sigma =30%, r =8%, T =1, and \delta =0. For simplicity, let u =1.3, d =0.8 and n =2(that is,2 periods). When constructing the binomial tree for the European call option, what is (Stock Share Purchased in the replicating portfolio) at the down node at the end of Period 1(after the stock price goes down once)?
Question 8 options:
0.7863
0.4889
1
0.2250
0.1836

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