Current price of underlier


A European call option has strike price $20,000 and exercise in three years. The current price of underlier is $18,400 and this will either go up by 10% or down by 8% each year, independent of what takes place in the other years. Determine the no-arbitrage price of the option, by using replicating portfolios, if the annual effective risk-free effective interest rate is 4%.

Request for Solution File

Ask an Expert for Answer!!
Basic Statistics: Current price of underlier
Reference No:- TGS0873235

Expected delivery within 24 Hours