What is the value of a european call option with an


What is the value of a European call option with an exercise price of $40 and a maturity date six months from now if the stock price is $28, the instantaneous variance of the stock price is 0.5 and the risk-free rate is 6%? Use both a) a two-steps binomial tree, b) the Black-Scholes pricing formula.

Solution Preview :

Prepared by a verified Expert
Finance Basics: What is the value of a european call option with an
Reference No:- TGS02819715

Now Priced at $10 (50% Discount)

Recommended (93%)

Rated (4.5/5)