A stock price is currently $51. It is assumed that at the end of six months it will be either $30 or $74. The risk-free interest rate is 1.3% per annum with continuous compounding. The stock doesn't pay dividends. One-step binomial tree is used to value options. What is the value of a six-month European call option with a strike price of $51? Round your final result to the nearest cents and input one number only, without units or percentage sign [%], using the dot [.] to separate decimals. Your Answer:
A stock price is currently $51. It is assumed that at the end of six months it will be either $30 or $74. The risk-free interest rate is 1.3% per annum with continuous compounding. The stock doesn't pay dividends. One-step binomial tree is used to value options. What is the value of a six-month European call option with a strike price of $51? Round your final result to the nearest cents and input one number only, without units or percentage sign [%], using the dot [.] to separate decimals. Your Answer:
Chapter20: Financing With Derivatives
Section20.A: The Black-scholes Option Pricing Model
Problem 1P
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![A stock price is currently $51. It is assumed that at the end of six months it will be
either $30 or $74. The risk-free interest rate is 1.3% per annum with continuous
compounding. The stock doesn't pay dividends. One-step binomial tree is used to
value options. What is the value of a six-month European call option with a strike
price of $51? Round your final result to the nearest cents and input one number only,
without units or percentage sign [%], using the dot [.] to separate decimals.
Your Answer:
Answer](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F7b80178f-6595-47ce-bc24-0814c63ae3be%2Fd8765d72-da62-4f88-af5e-b0d412d0e4f9%2Fs4fln7i_processed.jpeg&w=3840&q=75)
Transcribed Image Text:A stock price is currently $51. It is assumed that at the end of six months it will be
either $30 or $74. The risk-free interest rate is 1.3% per annum with continuous
compounding. The stock doesn't pay dividends. One-step binomial tree is used to
value options. What is the value of a six-month European call option with a strike
price of $51? Round your final result to the nearest cents and input one number only,
without units or percentage sign [%], using the dot [.] to separate decimals.
Your Answer:
Answer
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