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In these problems, n refers to the number of binomial periods. Assume all rates are contin- uously compounded unless the problem explicitly states otherwise.
In these problems, n refers to the number of binomial periods. Assume all rates are contin- uously compounded unless the problem explicitly states otherwise. 10.1 Let S = $100, K = $105, r = 8%, T=0.5, and 8 = 0. Let u= 1.3, d=0.8, and n = 1. a. What are the premium, A, and B for a European call? b. What are the premium, A, and B for a European put?
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International Financial Management
Authors: Cheol Eun, Bruce G. Resnick
8th edition
125971778X, 978-1259717789
