What is the price of european option

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A stock is currently traded at $60. The standard deviation of the stock return is 30% per annum. The riskless interest rate is 5% per annum. The terminal payoff of the derivative is specified as:

Payoff = 3 ST + 10

Suppose that the derivative is a normal European style option with one year remaining (i.e., it does not have the barrier). Without constructing a binomial tree, what is the price of this European option? Justify your answers.

Reference no: EM133069659

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