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3. For a two-period binomial model with a European call option and 1 1 So = 8,0 = 2, d =-.r = K =6 a)

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3. For a two-period binomial model with a European call option and 1 1 So = 8,0 = 2, d =-.r = K =6 a) Find the replicating portfolio at the H node for the buyer. b) Find the replicating portfolio at the T node for the buyer. c) Show that the portfolio will exactly balance in all of the nodes at time 2. 3. For a two-period binomial model with a European call option and 1 1 So = 8,0 = 2, d =-.r = K =6 a) Find the replicating portfolio at the H node for the buyer. b) Find the replicating portfolio at the T node for the buyer. c) Show that the portfolio will exactly balance in all of the nodes at time 2

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