In a 1-step binomial model, compute the risk-neutral probabilities for some (Delta A) when (a) (A_{u, d}=A_{0}
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In a 1-step binomial model, compute the risk-neutral probabilities for some \(\Delta A\) when
(a) \(A_{u, d}=A_{0} \pm \Delta A\)
(b) \(A_{u, d}=F_{A}(0, T) \pm \Delta A\)
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Related Book For
Mathematical Techniques In Finance An Introduction Wiley Finance
ISBN: 9781119838401
1st Edition
Authors: Amir Sadr
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