Chapter 03 · Section 3.1

Binomial Pricing Question 8

The diagram of the stock price evolution develops in this direction ------>
<--------The diagram of the call value evolution develops in this direction.

What is the price of the call?

a) --999999/-1
• b) -40.41
  No. You must take into account the risk free interest rate between these periods. In our example it is 10%.
  c) -10
  d) +36.73

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