A stock is currently priced at 100 over each of the next, Financial Management

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A stock is currently priced at 100 over each of the next

A stock is currently priced at $100. Over each of the next two three month periods it is expected to increase by 10% or fall by 10%. Consider a six month call option with a strike of $95. The risk free rate is 8% per annum.

What is the risk neutral probability p?

What is the call price?

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Financial Management: A stock is currently priced at 100 over each of the next

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Financial Management: A stock is currently priced at 100 over each of the next

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