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  3. 4. in a three-step model, at expiry a european cal

4. In a three-step model, at expiry a European call has values (3,0)=$0, (3,1)=$0, (3,2)=$0...

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Finance

4. In a three-step model, at expiry a European call has values (3,0)=$0, (3,1)=$0, (3,2)=$0 and (3,3)=$3. For =0.4 and =1.1, what is the premium of this call?

Group of answer choices

$0.6480

$0.1920

$0.1443

$0.4867

5. A European put has strike =$30. In a three-step model, the underlying asset of this put has values (3,0)=$10, (3,1)=$15, (3,2)=$25, (3,3)=$35. What are the expiry values of this put?

Group of answer choices

$0 (for three nodes) and $5

$10, $15, $25 and $35

$20, $15, $5 and $0

$20, $10, $5 and $0

6. In a two-step model with =1.2, two of the state prices are (2,2)=0.1111and (2,1)=0.3333. The third state price (2,0) must equal

Group of answer choices

1.0021

0.2500

-0.1111

0.2133

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