question archive The current price of a non-dividend paying stock is $30
The current price of a non-dividend paying stock is $30
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The current price of a non-dividend paying stock is $30. Use a two-step tree to value a European call option on the stock with a strike price of $32 that expires in 6 months. Each step is 3 months, the risk free rate is 8% per annum with continuous compounding. What si the option price when u -1.1 and d 0.9.
A. $1.29
B. $1.49
C. $1.69
D. $1.89
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