This problem is a continuation of the discussion of section 16.6. Show that as n ,

Question:

This problem is a continuation of the discussion of section 16.6. Show that as n → ∞, the binomial European put price converges to the Black-Scholes put price. (Note that, as part of the chapter spreadsheet for this chapter, we have included a function called BSPut , which computes the Black-Scholes put price.)

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question

Financial Modeling

ISBN: 9780262027281

4th Edition

Authors: Simon Benninga

Question Posted: