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Let S = $40, K = $40, r = 8% (continuously compounded), u = 30%, 8 = 0, T = 0.5 year, and n =
- Let S = $40, K = $40, r = 8% (continuously compounded), u = 30%, 8 = 0, T = 0.5 year, and n = 2.
a. Construct the binomial tree for the stock. What are u and d?
b. Compute the prices of European Call.
c. Compute the prices of European Put.
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The Routledge Handbook Of FinTech
Authors: K. Thomas Liaw
1st Edition
0367263599, 978-0367263591
