Consider three trading dates t = 0;1;2 and a commodity with price at time 0 equal to

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Consider three trading dates t = 0;1;2 and a commodity with price at time 0 equal to $45. Given the interest rate is 3%, the strike price is $50 and u = 1:1 and d = 0:97, determine the European call option price through the binomial model.

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Financial Modelling In Commodity Markets

ISBN: 9780367442866

1st Edition

Authors: Viviana Fanelli

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Question Posted: Jun 27, 2024 02:12 AM

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Consider three trading dates t = 0;1;2 and a commodity with price at time 0 equal to $50. Given the interest rate is 3%, the strike price is $50 and u = 1:1 and d = 0:97, determine the American call...
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Consider three trading dates t = 0;1;2 and a commodity with price at time 0 equal to

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Financial Modelling In Commodity Markets

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