Let S = $100, K = $95, = 30%, r = 8%, T = 1, and

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Let S = $100, K = $95, σ = 30%, r = 8%, T = 1, and δ = 0. Let u = 1.3, d = 0.8, and n = 2. Construct the binomial tree for a European put option. At each node provide the premium, Δ, and B.

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Question Posted: Dec 18, 2015 05:05 AM

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Let S = $100, K = $95, = 30%, r = 8%, T = 1, and

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The stock prices evolve according to the following picture Since we have two binom...View the full answer

Derivatives Markets

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