You as an option broker would like to quotes an OTC plain vanilla call option to your client by given the probability of

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answerhappygod
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You as an option broker would like to quotes an OTC plain vanilla call option to your client by given the probability of

Post by answerhappygod »

You as an option broker would like to quotes an OTC plain
vanilla call option to your client by given the probability of the
stock price going up is 2/3. If the current risk-free rate is 5%,
calculate a three-period at-the-money call option that written on a
USD25 stock that can go up or down by time value of 15% each
period. (Hint: Use binomial model)
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