Compute the calls value, A stock's price S is $50. After

Compute the calls value

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Reference no: EM131458115

Question: Compute the call's value.

Following data for a single-period binomial model:

· A stock's price S is $50. After six months, it either goes up by the factor U = 1.22095341 or it goes down by the factor D - 0.79881010.

· Options mature after T = 0.5 year and have strike price K = $45.

· A dollar invested in the money market account earns continuously compounded risk-free interest at 2 percent per year.

Reference no: EM131458115

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