Question

1. Given the following information, calculate the value of a call option and a put option using the 1 period binomial option pricing model. So = 100 U= 1.1 D = ? K= 95 T = 1 Year n = 1 period per year 0.06 r=

Answer 1

Step-by-step explanation:

So = 100 U = 1.1 D = ? K = 95 T = 1 Year n = 1 period per year r = 0.06 ... Step 1: Find the value of the call option: C = U / (1 + r) = 1.1 / (1 + 0.06) =