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Up Down Initial stock price Interest rate Exercise price Stock price Date 0 Call option price Date 0 60 Date 0 ??? 30% -10% American
Up Down Initial stock price Interest rate Exercise price Stock price Date 0 Call option price Date 0 60 Date 0 ??? 30% -10% American put option price ??? 60 6% 70 7. (Multi-period binomial model, American and European options) Fill in all the cells labeled "???" in the following spreadsheet: ??? ??? Date 1 ??? ??? Date 1 ??? ??? Date 1 WW ??? ??? ??? Date 2 ??? ??? ??? Date 2 ??? ??? ??? Date 2 Bond price Date 0 1 ??? Date 0 ??? ??? European put option price Date 1 ??? ??? Date 1 M ??? ??? ??? Date 2 ??? ??? ??? Date 2
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Quantitative Investment Analysis
Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle
3rd edition
111910422X, 978-1119104544, 1119104548, 978-1119104223
