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

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8. 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, , and B.

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Derivatives Markets Pearson New International Edition

ISBN: 978-1292021256

3rd Edition

Authors: Robert L. Mcdonald

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Question Posted: Jul 22, 2024 06:04 AM

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

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Derivatives Markets Pearson New International Edition

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