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Draw the binomial tree listing only the option prices at each node. Assume the following data...

Draw the binomial tree listing only the option prices at each node. Assume the following data on a 6-month call option, using 3-month intervals as the time period. K = $40, S = $37.90, r = 5.0%, σ = 0.35

Solutions

Expert Solution

u = e^(0.35*(0.25)^(1/2))=1.19124

d = 1/u = 1/1.19124=0.83946

jeff jeffy answered 3 months ago
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