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In a One-Period Binomial Model,assume That the Current Stock Price

Question 5

Multiple Choice

In a one-period binomial model,assume that the current stock price is $100,and that it will rise to $110 or fall to $90 after one month.If the risk-neutral probability of the stock going up is equal to 0.52,what is the price of a one-month call option at a strike price of $102?


A) $2.84
B) $3.14
C) $3.84
D) $4.14

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