Can you solve it with hand solving, not the program solving? Let us now assume that...

Can you solve it with hand solving, not the program solving?

Let us now assume that we have continuous time instead of discrete time, that S(0) = 100, r = 0.03, σ = 0.4 and T = 1. Calculate the price at t = 0 of the same European call option as above, i.e. X = max{S(1) − 104, 0}.

Expert Solution

By binomial option model

Call option price at t=0 is 19.2251

jeff jeffy answered 1 year ago

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