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3. Given the following parameters a. 100 Initial Stock price b. 100 Strike price c. 3% Risk-free rate d. 0% Dividend yield e. 20% Equity
3. Given the following parameters a. 100 Initial Stock price b. 100 Strike price c. 3% Risk-free rate d. 0% Dividend yield e. 20% Equity volatility f. 2 Y 2-year option maturity Value a 2-period binomial tree where the payoffs at time 1 and time 2 are given as follows: Payoff at time 2 is max(S2100,0) Payoff at time 1 is max(100S1,0) 3. Given the following parameters a. 100 Initial Stock price b. 100 Strike price c. 3% Risk-free rate d. 0% Dividend yield e. 20% Equity volatility f. 2 Y 2-year option maturity Value a 2-period binomial tree where the payoffs at time 1 and time 2 are given as follows: Payoff at time 2 is max(S2100,0) Payoff at time 1 is max(100S1,0)
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