Exercise 17.2.4 It was shown in Subsection 10.2.2 that binomial trees can be extended backward in time
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Exercise 17.2.4 It was shown in Subsection 10.2.2 that binomial trees can be extended backward in time for two periods to compute delta and gamma. Argue that trinomial trees need to be extended backward in time for only one period to compute the same hedge parameters.
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Related Book For 
Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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