i. Calculate The Option value for a two period Binomial European Call option with the following...

i. Calculate The Option value for a two period Binomial European Call option with the following terms and the time values.

Current Price of underlying asset K100

Strike price of underlying asset K80

One period risk free rate of return 10%

Stock price can either go up or down by 15%

ii. compare the results if the stock price can go up or down by 30%

Expert Solution

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1.

2. As the volatility increases from (15% to 30% up or down), the value of the call option increases from 34.64 to 37.18

jeff jeffy answered 1 year ago

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