Using a binomial tree, what is the price of a $40 strike 6-month call option, using 3-month intervals as the time period? Assume the following data: S = $37.90, r = 5.0%, ? = 0.35
(a) $2.50
(b) $2.76
(c) $2.92
(d) $3.08
Answer: d
Fin 402
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