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The cc risk free rate r = -0.15% (yes, r < 0). The spot price for TFS is So = 42.50, the cc dividend
The cc risk free rate r = -0.15% (yes, r < 0). The spot price for TFS is So = 42.50, the cc dividend rate is 8%, and the annual volatility = 30%. Using our standard model for a 2 step tree, what is the replicating portfolio at the node t = 0, S = So for a 45 strike call option expiring in 6 months? A = B =
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An Introduction to the Mathematics of Financial Derivatives
Authors: Ali Hirsa, Salih N. Neftci
3rd edition
012384682X, 978-0123846822
