Question: This question relates to a course I'm currently taking this semester at Brooklyn College FINC. 3340: Options, Futures and Commodities Markets . It's related to

This question relates to a course I'm currently taking this semester at Brooklyn College FINC. 3340: Options, Futures and Commodities Markets . It's related to binomial trees. This is a question from the textbook, Options, Futures, and Other Derivatives (9th ed.), by John C. Hull. From Chapter 13, Practice Question 13.5: A stock price is currently $100. Over each of the next two 6-month periods it is expected

to go up by 10% or down by 10%. The risk-free interest rate is 8% per annum with

continuous compounding. What is the value of a 1-year European call option with a

strike price of $100?

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