Question: where X= 3 Consider a one-period binomial model in which the underlying is at Rs. 6X and can go up 2X percent or down IX

where X= 3

where X= 3 Consider a one-period binomial model in which the underlying

Consider a one-period binomial model in which the underlying is at Rs. 6X and can go up 2X percent or down IX percent. The risk-free rate is 8 percent. A. Determine the price of a European call and put option with exercise prices of 67. B. Assume that the call is selling 2 rupee higher than the price you calculated in part A, Demonstrate how to execute an arbitrage transaction and calculate the rate of return. Use 10,000 call options

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