Analyze nestle csr initiative plan focuses on society issues
This is a CSR project, and choose to nestle as our company Note: Please give answer on mentioned words (must add intext citation) and required
Assignment ID: FG132595139
Assume risk-neutrality. A European call option with a strike price of $20.40 which expires in four months is written over a stock that is currently priced at $20.00. It is known that at the end of four months the stock will be either worth $18 or $22. The risk-free interest rate is 5% p.a. (continuously compounded).
Question i) Verify that the probability of a share price increase is 0.584.
Question ii) Use the risk-neutral valuation method to determine the value of the call option.