Question

Could anyone help me with this probability exercise question? I'm not sure about what method should I use.

Consider the Cox-Ross-Rubinstein model for the pricing of European call options with parameters Xo-K := 1 and σ-μ := In(2). Find the Black-Scholes price 11* for maturity times N є {1,2,3)

Answer 1

olution he Black..8cholu tility it na Far N1, 0-65 소ㅡ 0.9.114.9 Thc

ーアて订订 2 2-2 = 1.90 0.924 92 AO.1 E0 166 And Le (2)3 2.33 Д, 0-8813 uit4wLArtaHu.callinption. げLA..ALAL3