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Value of Pfizer stock price is currently $50. The value of the stock can either increase 25% or decrease 20% in 6 months. The risk-free
Value of Pfizer stock price is currently $50. The value of the stock can either increase 25% or decrease 20% in 6 months. The risk-free rate for 1 year is 2%.
- Show the payoff of the 6-month call option with strike price $50.
- Calculate the option delta for the 6-month call option.
- Calculate the call option price using the replicating portfolio method.
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Investment Analysis And Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
7th Edition
0324171730, 978-0324171730
