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elf_fu elf_fu
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7 years ago
Using a binomial tree, what is the price of a $40 strike 6-month call option, using 3-month intervals as the time period? Assume the following data: S = $37.90, r = 5.0%, σ = 0.35
A) $2.50
B) $2.76
C) $2.92
D) $3.08
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Derivatives Markets

Derivatives Markets


Edition: 3rd
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phuongha2892phuongha2892
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7 years ago
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elf_fu Author
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7 years ago
Heavy Heart Correct
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