Question
Questions 4 Build an n=10-period binomial model for the short-rate, ri,j. The lattice parameters are: r0,0=5%, u=1.1, d=0.9 and q=1q=1/2. Compute the price of an
Questions 4
Build an n=10-period binomial model for the short-rate, ri,j. The lattice parameters are: r0,0=5%, u=1.1, d=0.9 and q=1q=1/2.
Compute the price of an American call option on the same ZCB of the previous three questions. The option has expiration t=6 and strike =80.
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Social Finance Shadow Banking During The Global Financial Crisis
Authors: Neil Shenai
1st Edition
3030082318, 978-3030082314
