Exhibit 22.6 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

question 66

Multiple Choice

Exhibit 22.6
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The following information is provided in the context of a two period (two six month periods) binomial option pricing model. A stock currently trades at $60 per share, a call option on the stock has an exercise price of $65. The stock is equally likely to rise by 15% or fall by 15% during each six month period. The one-year risk free rate is 3%.
-Refer to Exhibit 22.6. Calculate the price of the call option today (C₀) .

• A)$7.77
• B)$14.35
• C)$0
• D)$4.21
• E)$6.44

---

Definitions:

Coping Skills

Techniques or strategies that individuals use to manage stress, challenges, or trauma in an effective way.

Borderline Personality Disorder

a mental disorder characterized by unstable moods, behavior, and relationships.

Hispanic Americans

Individuals in the United States who are descendants of people from countries of Latin America and the Iberian Peninsula.

Non-Hispanic

A demographic term used to describe individuals who do not identify as Hispanic or Latino, often used in the context of ethnic or racial studies.