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Financial Mathematics Problem Set 2 Problem 3: Consider the T-period Cox-Ross-Rubinstein model assuming that d O fort = 0,1,...,T - 1 holds, i.e. the strategy
Financial Mathematics Problem Set 2 Problem 3: Consider the T-period Cox-Ross-Rubinstein model assuming that d O fort = 0,1,...,T - 1 holds, i.e. the strategy o does not contain any short selling of the stock. Hint: You may use the result of part (a) Financial Mathematics Problem Set 2 Problem 3: Consider the T-period Cox-Ross-Rubinstein model assuming that d O fort = 0,1,...,T - 1 holds, i.e. the strategy o does not contain any short selling of the stock. Hint: You may use the result of part (a)
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