2. In exercise 1, compute the state prices qu and qd, and use these prices to calculate...

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2. In exercise 1, compute the state prices qu and qd, and use these prices to calculate the value today of a oneyear put option on the stock with exercise price $30. Show that put-call parity holds: That is, using your answer from this problem and the previous problem, show that

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Financial Modeling

ISBN: 9780262024822

2nd Edition

Authors: Simon Benninga

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