=+3. Let the three-step binary price model with the time step t = 1/52 (one week) have

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=+3. Let the three-step binary price model with the time step Δt = 1/52 (one week) have the structure shown in Fig. 13.1. Suppose the continuously compounded interest rate p.a. is such that r = 52 ln (5/4).

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Introductory Course On Financial Mathematics

ISBN: 9781908977380

1st Edition

Authors: M V Tretyakov

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Question Posted: Oct 23, 2024 08:06 AM

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=+3. Let the three-step binary price model with the time step t = 1/52 (one week) have the structure shown in Fig. 13.1. Suppose the continuously compounded interest rate p.a. is such that r = 52 ln...
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=+3. Let the three-step binary price model with the time step t = 1/52 (one week) have

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Introductory Course On Financial Mathematics

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