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Using a binomial tree, calculate the price of a $40 strike 6-month call option, using 3-month...

Using a binomial tree, calculate the price of a $40 strike 6-month call option, using 3-month intervals as the time period. Using the US system. Assume the following data: S = $37.90, r = 5.0%, σ = 30%.

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Answer #1

faycal = 26.os. 64.051 layofj= 20.23 249-27 - 34.49. $ 37.90 34.49 26 .53 25. 2035 Probability of an up more = 1+r-d und = 1+

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