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1.2. Consider a European call with strike price 110 in the following model. Compute the fair price of this option by the method of replication
1.2. Consider a European call with strike price 110 in the following model. Compute the fair price of this option by the method of replication and by means of the risk-neutral probability. SU (1) = 130 A(1) = 105 S(0) = 100 A(0) = 100 = = SD(1) = 90 A(1) = 105 11 1.2. Consider a European call with strike price 110 in the following model. Compute the fair price of this option by the method of replication and by means of the risk-neutral probability. SU (1) = 130 A(1) = 105 S(0) = 100 A(0) = 100 = = SD(1) = 90 A(1) = 105 11
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