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Let S = $100, K + $95, sigma = 30%, T = 1, and delta = 0. Let u = 1.3, d = 0.8, and
Let S = $100, K + $95, sigma = 30%, T = 1, and delta = 0. Let u = 1.3, d = 0.8, and n = 2. Construct the binomial tree for an American put option. At each node provide the premium, Delta, and B
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Research In Finance Volume 24
Authors: Andrew H. Chen
1st Edition
0762313773, 978-0762313778
