Question: We will derive call option value using binomial tree. The available data are as follows; current stock price is $100; exercise price $110; and 1+r

We will derive call option value using binomial tree. The available data are as follows; current stock price is $100; exercise price $110; and 1+r = 1.10. The stock price after three- month could be $130 or $80. Time to maturity is three-months a. Calculate delta for making riskless portfolio at the time 0 b. Find the value of the call? c. If we assume the call value from (2) is reliable, what is the value of the put using put-call parity

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