Question
S = 100,K = 95, volatility = 30%, r = 8%, T = 1, small delta = 0, u = 1.3, d = 0.8, n=
S = 100,K = 95, volatility = 30%, r = 8%, T = 1, small delta = 0, u = 1.3, d = 0.8, n= 2. Construct the binomial tree for a call option. At each node provide the premium, big delta, and B.
I got the first premium = 0.7, but the answer is -0.3. Please help, thanks!
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Financial Management For Nurse Managers Merging The Heart With The Dollar
Authors: J. Michael Leger
5th Edition
1284230937, 9781284230932
