Francis Has a Long Position on the Underlying Asset and Has

question 23

Multiple Choice

Francis has a long position on the underlying asset and has sold a number of call options with the following binomial tree:

Given the current asset price is $20 and r is 5%, what is the price of the this call option?

• A)$2.86
• B)$0.60
• C)$21.43
• D)−$21.43

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