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Solutions in code or Excel Consider the following option: Stock price =100 Strike K=95 Volatility =20% Expiry T = 3 months Dividend yield = 2%
Solutions in code or Excel Consider the following option: Stock price =100 Strike K=95 Volatility =20% Expiry T = 3 months Dividend yield = 2% Stock expected return = 6% Risk free = 3%
1) Calculate price of European call a. (20 points) Binomial tree b. (20 points) Finite difference method c. (20 points) Black Sholes-Gaussian Distribution d. (20 points) Black Scholes- Monte Carlo
2) (20 points) Calculate price of American call
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