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In a two-step model the variable returns are R(0,0)=1.03,R(1,0)= 1.06 and R(1,1)=1.02. A forward contract has shares as the underlying asset where, using CRR notation,
In a two-step model the variable returns are R(0,0)=1.03,R(1,0)= 1.06 and R(1,1)=1.02. A forward contract has shares as the underlying asset where, using CRR notation, S=45,u=1.2 and d=1/u. What is the forward price for the two-step model Step by Step Solution
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Financial Management For Public Health And Not For Profit Organization
Authors: Steven A. Finkler
3rd International Edition
0138152772, 9780138152772
