10. This problem is a continuation of the discussion of section 14.6. Show that as n, the...

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10. This problem is a continuation of the discussion of section 14.6. Show that as n→∞, the binomial European put price converges to the Black-Scholes put price. (Note that, as part of the spreadsheet Chapter14.xls, we have included a function called BSPut that computes the Black-Scholes put price.)

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Financial Modeling

ISBN: 9780262024822

2nd Edition

Authors: Simon Benninga

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