Question
Complete a three step binomial tree to price the options outlined below. Use the informationprovided to find the values for: a) an European Call Option
Complete a three step binomial tree to price the options outlined below. Use the informationprovided to find the values for:
a) an European Call Option (13 points)
b) an European Put Option (13 points)
c) an American Put Option (13 points)
d) the call delta at each node in the tree (6 points)
Provide examples of your math / setup with your answer turn in your final answers or the completed tree showing the calculations in the tree
Stock Price = $80, Strike Price = $82, Volatility =0.3, Maturity = 9 months, (each step in the tree = 0.25),interest rate = 0.025
explain all steps fully in completing this question.
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