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    Derivatives and Risk Management Study Set 2
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    Exam 4: Option Pricing Models: the Binomial Model
  5. Question
    Suppose S = 70,X = 65,r = 0
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Suppose S = 70,X = 65,r = 0

Question 29

Question 29

Multiple Choice

Suppose S = 70,X = 65,r = 0.05,p = 0.6,Cu = 7.17,Cd = 1.22 and there is one period left in an American call's life.What will the option be worth?


A) 6.83
B) 0.00
C) 4.56
D) 5.00
E) none of the above

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