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Derivatives
Derivatives
Hard
Using a one-period binomial model, a stock currently trades at $100 with u = 1.20 and d = 0.90. The risk-free rate is 5% per period. A European call option with a strike price of $105 has a value closest to:
A
$7.14
B
$15.00
C
$0.00
D
$14.29
Select an answer to continue
Tags
#binomial-model
#put-option
#risk-neutral-probability
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