38. Suppose a stock is currently trading at $50. The risk-free rate is 2%. Consider the following two ending states for a one-period binomial option pricing model State Up Stock price 60 Down 40 What is the value of a call option with a strike price of 45? *a. $8.08 b. $5.17 c. $14.71 d. $7.35 e. $9.36 Factor Increase/Decrease .2 .2
38. Suppose a stock is currently trading at $50. The risk-free rate is 2%. Consider the following two ending states for a one-period binomial option pricing model State Up Stock price 60 Down 40 What is the value of a call option with a strike price of 45? *a. $8.08 b. $5.17 c. $14.71 d. $7.35 e. $9.36 Factor Increase/Decrease .2 .2
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter5: Financial Options
Section: Chapter Questions
Problem 4P: Put–Call Parity
The current price of a stock is $33, and the annual risk-free rate is 6%. A call...
Question
![38. Suppose a stock is currently trading at $50. The risk-free rate is 2%. Consider the following two
ending states for a one-period binomial option pricing model
State
Up
Stock price
60
Down
40
What is the value of a call option with a strike price of 45?
*a. $8.08
b. $5.17
c. $14.71
d. $7.35
e. $9.36
Factor Increase/Decrease
.2
.2](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2Fd35f6056-8a5a-4e79-809d-6f7ba9e13774%2Fb5b64187-1cbf-4501-9696-d38649d109be%2F1o5xku8_processed.jpeg&w=3840&q=75)
Transcribed Image Text:38. Suppose a stock is currently trading at $50. The risk-free rate is 2%. Consider the following two
ending states for a one-period binomial option pricing model
State
Up
Stock price
60
Down
40
What is the value of a call option with a strike price of 45?
*a. $8.08
b. $5.17
c. $14.71
d. $7.35
e. $9.36
Factor Increase/Decrease
.2
.2
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