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1.a In Excel, calculate the value of a one-year, 5-period binomial call option. Assume the time between periods (AT) is 0.2 years, and the one
1.a In Excel, calculate the value of a one-year, 5-period binomial call option. Assume the time between periods (AT) is 0.2 years, and the one period risk-free rate is 0.397%. Also assume So is 45, o= 40%, and X=46. In building the tree, assume the up move is: ure and d=1 In the binomial tree, show the value of the call at each node. The binomial tree should be set up so that it will recalculate the option price if you change any of the parameters (S,X,rf, 6). 1.a In Excel, calculate the value of a one-year, 5-period binomial call option. Assume the time between periods (AT) is 0.2 years, and the one period risk-free rate is 0.397%. Also assume So is 45, o= 40%, and X=46. In building the tree, assume the up move is: ure and d=1 In the binomial tree, show the value of the call at each node. The binomial tree should be set up so that it will recalculate the option price if you change any of the parameters (S,X,rf, 6)
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