(Answered) Consider a 1-period binomial model with r102 s0100 u1d105

Management Studies

Consider a 1-period binomial model with R=1.02, S0=100,

u=1/d=1.05. Compute the value of a European call option on the stock

with strike K=102. The stock does not pay dividends.

-When you construct the replicating portfolio for the option in the previous question how many dollars do you need to invest in the cash account?

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Business Management, Management Studies

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