Question
A single branch on a Binomial tree is represented by the following diagram. The riskfree rate is 4% and the branch length (delta t)
A single branch on a Binomial tree is represented by the following diagram. The riskfree rate is 4% and the branch length (delta t) = 6 months Calculate how much money is required to invest in the bank ("B") to replicate the derivative. Enter your answer to two decimal places. Do not enter the dollar sign "$". A positive (negative) number means invest (borrow). S = $8 u = 1.20 d = 0.83 ST = $9.60 C = $5.60 ST=$6.64 C = $2.64
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Venture capital and the finance of innovation
Authors: Andrew Metrick
2nd Edition
9781118137888, 470454709, 1118137884, 978-0470454701
