Question
S=$100, K=$95, Standard deviation=30%, r=8%, T=1, Dividen yield=0, u=1.3, d=0.8 and n=2 Construct the binomial tree for a call option. At each node provide the
S=$100, K=$95, Standard deviation=30%, r=8%, T=1, Dividen yield=0, u=1.3, d=0.8 and n=2
Construct the binomial tree for a call option. At each node provide the premium, Delta and B.
(I calculated the rest but unbale to get the Delta= -03, B= -49.127 and price=19.994)
Please give me a full step by step working for Delta= -0.3, B= -49.127 and price=19.994
The tree has the answers, but i need detailed workings with formuals.
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Analysis for Financial Management
Authors: Robert Higgins
11th edition
77861787, 978-0077861780
