Question
Consider a 2 time binomial tree model for a stock price with u = 0.2 and d = 0.2, r = 0.05. Assume S(0) =
Consider a 2 time binomial tree model for a stock price with u = 0.2 and d = 0.2, r = 0.05. Assume S(0) = 100.
(a) Find the price of a European put option at time 0 and 1 with strike K = 104 and expiration at time 2.
(b) Find the price of an American put option at time 0 and 1 with strike K = 104 and expiration at time 2.
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Guardians Of Finance
Authors: James R. Barth, Gerard Caprio, Ross Levine
1st Edition
0262526840, 978-0262526845
