Assume two periods to expiration, (u=1.05, d=1 / 1.05, r_{f}=1.02, S_{0}=$ 100), no dividends, and (X=$ 100)
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Assume two periods to expiration, \(u=1.05, d=1 / 1.05, r_{f}=1.02, S_{0}=\$ 100\), no dividends, and \(X=\$ 100\) on a European call expiring at the end of the second period. Find: \(C_{u w}, C_{u d}, C_{d d}, C_{d}, C_{u}, C_{0}^{*}, H_{u}, H_{d}, H_{0}^{*}, B_{u}, B_{d}\), and \(B_{0}^{*}\).
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