Stock price=100, K=95, R=0.08, Delta=0.3, T =1,

N= 3, D=0

Find: u,d,Pu, h

Find:

1)stock price in red

2)american call price in yellow

3)european put price in orange

4) american put price in blue

CIS- * A E F 1 M N G T 1 IZ so 100 0.08 03 1 2 1 4 5 Find u d P. h American Call price European Put prior 7 9 2 10 11 ID 12 13 14 15 15 17 10 19 20 21 II 11 12 23 24 SINIR SABARRO 41. Eplain how you verify that there is never early exercise 36 57 138 39 140 41 a. Explain how you verify that there is never early exercise. 42 143 44 145 146 47 48 b. Just check the put-call parity at time zero. 49 50 51 52 53 54 55 C. The cell 021 is your answer. 56 57 58 59 60 Sheet1 CIS- * A E F 1 M N G T 1 IZ so 100 0.08 03 1 2 1 4 5 Find u d P. h American Call price European Put prior 7 9 2 10 11 ID 12 13 14 15 15 17 10 19 20 21 II 11 12 23 24 SINIR SABARRO 41. Eplain how you verify that there is never early exercise 36 57 138 39 140 41 a. Explain how you verify that there is never early exercise. 42 143 44 145 146 47 48 b. Just check the put-call parity at time zero. 49 50 51 52 53 54 55 C. The cell 021 is your answer. 56 57 58 59 60 Sheet1