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Posted on Aug 08, 2024

Suppose you re considering a call option expiring in one quarter on a stock with an annualized mean of zero and variance of 0 .

Suppose you

re considering a call option expiring in one quarter on a stock with an annualized mean of zero and variance of

0.0228108 ?

Calculate the stock's up and down parameters

(

u and d

)

for periods with the following lengths:

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