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What is the expected return on the call option

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Reference no: EM133061626

Suppose that in a one-period binomial model there is a European style call option that pays $15 in the up scenario and $0 in the down scenario. The option is trading for $5 in the market. Assume that the real-world probability of realizing up scenario is 50%. What is the expected return on the call option?

Reference no: EM133061626

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