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Question: Binomial Option Pricing Model

S = Asset Price = 88

X = Exercise Price= 90

u = The factor by which the price rises =.08

d = The factor by which the price falls = -.06

r = Rate = .0275

1. What is the price of a call option using the one period model and two period model with the information given above? Show all work.

A) What are the hedge ratios for the first and second period for two period calls?

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Category:- Basic Finance
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