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 an investment of a dollar at the risk-free rate returns $1.001668 after one month,what is the expected gross return of a 100-strike one-month call option under the risk-neutral probabilities?
A) 1.0010
B) 1.0017
C) 1.0100
D) 1.0167
Correct Answer:
Verified
Correct Answer:
Verified
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