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Consider a binomial model with parameters T = 2, S0 = 100, r = 0, u = 0.2, d = 0.1, p = 0.9, and
Consider a binomial model with parameters T = 2, S0 = 100, r = 0, u = 0.2, d = 0.1, p = 0.9, and a call option with strike price K = 90 and maturity T = 2. (a) Find the replicating portfolio of the ca...
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The Changing Geography Of Banking And Finance
Authors: Pietro Alessandrini ,Michele Fratianni ,Alberto Zazzaro
1st Edition
