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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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