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financial derivatives Making Sense of the CRR (Cox-Ross-Rubinstein) Model: Suppose you wish to approximate the distribution of a stock price three (3) months from now
financial derivatives
Making Sense of the CRR (Cox-Ross-Rubinstein) Model: Suppose you wish to approximate the distribution of a stock price three (3) months from now using a binomial tree with n=100 steps. Suppose the stock price distribution is lognormal with =0.04 per year and =0.40 per year. What values would you use for the CRR parameters of the binomial model Step by Step Solution
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