Question: question 1 1. Underlying asset price at current time is $100 and u(up factor in the binomial tree) is 1.2 and d(down factor in the

question 1

1. Underlying asset price at current time is $100 and u(up factor in the binomial tree) is 1.2 and d(down factor in the binomial tree) is 0.7. Exercise price is $110 and risk free rate is 10 %. Assume one-period model and European option. a). What is the European call option price? (5 points) b). What is the intrinsic value of the above call option at the current time? (5 points) c) What is the delta of the call option? (5 points)

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