Consider a call option on a stock selling for 30 per share, Ask an Expert

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Consider a call option on a stock selling for $30 per share with a $32 exercise price. The stock's standard deviation is 36% per year; the option matures in 6 months; and the risk-free interest rate is 4% per year.

a) Find the risk neutral probability assuming 3 months for each step.

b) Find the call price?

c) Find the put price?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91595928

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