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Use the two-state binomial option-pricing model with continuous compounding for the following questions:
What are the call option values (Cu & Cd) across the two states?
Cu = max ( 0, 1.5 x 100 - 120) = $30
Cd = max ( 0, -40) = 0
What is the delta (i.e., hedge ratio) for the call?
Hedge ratio = 30 / (150 - 80) = 30/70 = 0.428571
What is the probability (Pru) that the underlying stock price will experience the 'u' state?
20 = (p*30 + 0)e^-0.055
Therefore p =21.13081 / 30 = 0.70436
Value the call using the risk-free approach.
p(0.7)100 + 80 = 100*e^0.055 = 0.366487
C = 30 * 0.366487 *e^-0.055= $11.62
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