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Find the value of option using cox-ross-rubenstein

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Reference no: EM133062450

Consider a stock with current price S=100 and standard deviation of annual returns σ=30%. Stock does not pay any dividends. Consider a 1-year European call option on this stock with a strike price of $95. The risk-free interest rate is 8%.

a) Find the value of this option using Cox-Ross-Rubenstein 2-step binomial option pricing model.

Reference no: EM133062450

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