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Business, 23.03.2020 17:49 stjuliendeja

A stock price is currently $48. At the end of next six months it will be either $80 or $20. The risk-free rate of interest with continuous compounding is 12% per annum. The exercise price of a six-month European call option on this stock is $50. To price this option you replicate this option, forming a portfolio of units of the stock and shorting one call option. The price (premium) of this call option is

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A stock price is currently $48. At the end of next six months it will be either $80 or $20. The risk...
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