All Questions
2 questions
1
vote
1
answer
468
views
Put-on-call option confusion
So the question asks: Given a 3-steps Binomial Tree model with $S(0) = 50$, $U = 20%,D = 20%$, and $R = 5%$. A European call option has the strike price $X = 40$ and maturity time $T = 3$. Also, a ...
- 171
0
votes
1
answer
17k
views
Replication strategy of European call option
So the question asks: L et $S(0) = 120$ dollars, $u = 0.2$, $d = −0.1$ and $r = 0.1$. Consider a call option with strike price $X = 120$ dollars and exercise time $T = 2$. Find the option price and ...
- 171