A stock is currently priced at $77 and will move up by a fac…
A stock is currently priced at $77 and will move up by a factor of 1.50 or down by a factor of .88 over the next period. The risk-free rate of interest is 4.2 percent and the strike price is $78. a. What is the up price (i.e., stock price in the high state, SH)? (3 pts) b. What is the down price (i.e., stock price in the low state, SL)? (3 pts) c. What is the value of the call option in up price (i.e., call option price in the high state, CH)? (3 pts) d. What is the value of the call option in down price (i.e., call option price in the low state, CL)? (3 pts) e. What is the delta (i.e., the number of shares of the stock)? (3 pts) f. What is the B (i.e., the number of dollars in the risk-free asset)? (3 pts) g. What is the price of the call option today (i.e., C0)? (2 pts)