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发帖数: 876 | 1 There is a stock trading at $10 today. We have publicly available
information about its future price. It will get taken over with 50%
probability. If it doesn’t get taken over, it goes bankrupt (stock = 0)
with 60% probability, stock = $ 5 with 40% probability. If it does get taken
over, price goes to $15 with 80% probability, $unknown with 20% probability
.
Someone wants an option to buy the stock after the decision happens for $20.
What is a fair price for the call option? What is its price if |
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