Consider a two-period, two-state world. Let the current stock price be $35 and the risk-free rate be 5%.

: Ethics and Social Responsibility
August 31, 2020
Cognitive Constructs and Concepts
August 31, 2020

Consider a two-period, two-state world. Let the current stock price be $35 and the risk-free rate be 5%.

Consider a two-period, two-state world. Let the current stock price be $35 and the risk-free rate be 5%. In each period, the stock price can either go up by 10% or down by 10%. A call option expiring at the end of the second period has an exercise price of $30. Determine the possible prices of the call at expiration. Find the possible prices of the call at the end of the first period.