Price of a european call option

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You are given the following information:S0 = $ 35.0X = $ 32.0U = 1.1 per periodD = 0.85 per periodT = 0.5R = 5.0%

1. Use a two-period Binomial Model to compute the Price of a European Call Option based on the above information.

2. Find the Probability that the Option will be Exercised.

3. Using the Same Inputs and all necessary Outputs, find the price the Call option, using the B-S-M formula.

4. Find the Value of a European Put option (use the B-S-M Call Option value and Put-Call parity).

Reference no: EM133061297

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