Here?s an advanced version of exercise 10. Consider an alternative parameterization of the binomial: Construct binomial European

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Here?s an advanced version of exercise 10. Consider an alternative parameterization of the binomial:

Construct binomial European call and put option pricing functions in VBA for this parameterization and show that they also converge to the Black-Scholes formula.?

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Financial Modeling

ISBN: 9780262027281

4th Edition

Authors: Simon Benninga

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Question Posted: Dec 29, 2020 12:26 AM

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Here?s an advanced version of exercise 10. Consider an alternative parameterization of the binomial: Construct binomial European

Question:

At = T/n R= e" R- Down qu R* (Up- Down) Up=er-o²12)At÷0v 1 Down=er-o?2)at-o v - qu R

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Option Explicit Function BinomialEuropeanCallS As Double K As Double T As Double r As Double sigma As Double n As Integer As Double Dim dt As Double D...View the full answer

Financial Modeling

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