Question: SHOW IN EXCEL !! PREVIOUS CALCULATIONS ARE WRONG Calculate the value of a call option . The initial stock price (S 0 ) is $50,

SHOW IN EXCEL !! PREVIOUS CALCULATIONS ARE WRONG

Calculate the value of a call option . The initial stock price (S₀) is $50, and the exercise price (X) is $45. The risk-free rate of interest (r) is 5% per annum. The time to expiry is 6 months. Use a two-step tree, with the up factor of 1.05 and the down factor of 1/1.05 at each step. Use risk-neutral pricing, but also calculate and report the delta at each node in the tree prior to the final step of course.

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