c) Consider a trinomial model with r = 0, T = 1, So = 1 and 1.1 with probability ? ST = 1 with probability
c) Consider a trinomial model with r = 0, T = 1, So = 1 and 1.1 with probability ? ST = 1 with probability 0.9 with probability ?. Is the portfolio h = (-1, 1) a super-replication portfolio, a sub-replication portfolio or neither of these for an at-the money call option? d) Let a, b > 0 and let W = (We)to be a Wiener process. What is the covariation [a . W, b . W] (T)
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access with AI-Powered Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
