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Derivatives & Risk
Options · Binomial Pricing
Medium

One-Period Call Value

A stock is currently worth 100. After one period it will be either 110 with probability 1/2 or 90 with probability 1/2. Assume zero interest rates. A European call has strike 100. What is its value under this one-period risk-neutral model?

Quant interview-style problem · QS-T004

Think first. Use hints deliberately. Study the reasoning only when you need it.