1 For this problem use the model parameters of Exercise 2, section 2 4 (a) Find the superhedging strategy for the American call option, and the time zero cost of that strategy (b) Find the superhedging strategy for the American put option, and the time zero cost of that strategy 2 Consider a CRR model with T 2, So $100, Si $200 or Si $50, and an associated European call option with strike price K $80 and avercise time T 2 Assume that the risk free interest rate is r 0 1 n 1 1 For this problem use the model parameters of Exercise 2, section 2 4 (a) Find the superhedging strategy for the American call option, and the time zero cost of that strategy (b) Find the superhedging strategy for the American put option, and the time zero cost of that strategy 2 Consider a CRR model with T 2, So $100, Si $200 or Si $50, and an associated European call option with strike price K $80 and avercise time T 2 Assume that the risk free interest rate is r 0 1 n 1

Question

1  For this problem use the model parameters of Exercise 2, section 2 4  (a) Find the superhedging strategy for the American call option, and the time zero cost of that strategy  (b) Find the superhedging strategy for the American put option, and the time zero cost of that strategy  2  Consider a CRR model with T   2, So   $100, Si   $200 or Si   $50, and an associated European call option with strike price K   $80 and avercise time T   2  Assume that the risk free interest rate is r   0 1 n   1 1  For this problem use the model parameters of Exercise 2, section 2 4  (a) Find the superhedging strategy for the American call option, and the time zero cost of that strategy  (b) Find the superhedging strategy for the American put option, and the time zero cost of that strategy  2  Consider a CRR model with T   2, So   $100, Si   $200 or Si   $50, and an associated European call option with strike price K   $80 and avercise time T   2  Assume that the risk free interest rate is r   0 1 n   1

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1. For this problem use the model parameters of Exercise 2, section 2.4. (a) Find the superhedging strategy for the American call option, and the

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