Value of call using binomial lattice


A stock with current price $100 per share has an expected growth rate of its logarithm of v = 12% and a volatility of that growth rate of σ = 20%. A call option on this stock has a strike price of $103 and expiration is in 2 months. The interest rate is quoted as 6% compounded monthly. Find the value of this call using a binomial lattice with 1-month intervals.

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Finance Basics: Value of call using binomial lattice
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