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How do I construct a 10 Period Binomial Lattice for a European Call, European Put, American Call and American Put in Excel with parameters: sigma
How do I construct a 10 Period Binomial Lattice for a European Call, European Put, American Call and American Put in Excel with parameters:
| sigma | 0.2 |
| r (annual) | 0.08 |
| n (steps) | 10 |
| T | 0.25 |
| S0 | 41 |
| X | 40 |
| delta t | 0.025 |
| r per period | 0.0019 |
| u | 1.0321281 |
| d | 0.968872 |
| p* | 0.5225407 |
| 1-p* | 0.4774593 |
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Fundamental Accounting Principles Volume 2
Authors: Kermit Larson, Heidi Dieckmann
15th Canadian Edition
1259087360, 9781259087363
