Zu dieser Karteikarte gibt es einen kompletten Satz an Karteikarten. Kostenlos!

12.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 is the option price when u = 1.1 and d = 0.9.
A.$1.29
B.$1.49
C.$1.69
D.$1.89