Required to replicate the call option position

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A non-dividend paying stock is currently valued at $100. The option strike price is $100, the risk-free rate is 2%, and the stock volatility is 30%.

What is the amount of borrowing (B) required to replicate the call option position?

Using 2 binomial periods, what is the 1-year call option price?

Reference no: EM131580717

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