Question details

A stock price is currently $50. It is known that at the end of two months it will be either $53 or
$ 3.99

A stock price is currently $50. It is known that at the end of two months it will be either $53 or $48. The risk-free interest rate is 10% per annum with continuous compounding. What is the value of a two-month European call option with a strikeprice of $49? Use no-arbitrage arguments.

 

Available solutions