Question

DantheDog

A stock price is currently $50. Over each of the next two three-month periods it is expected to go up by 6% or down by 5%. The risk-free interest rate is 5% per annum with continuous compounding. What is the value of a six-month European call option with a strike price of $51?

Answer 1

alalala

https://www.dropbox.com/s/zztea70avv1wz7e/Screenshot%202015-12-31%2019.00.33.png?dl=0