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We consider the 3-period model seen in class with the parameters So = 4, y = 2, d = 1/2, r = 1/5, K =
We consider the 3-period model seen in class with the parameters So = 4, y = 2, d = 1/2, r = 1/5, K = 2. The price of the underlying asset is denoted by Sn for n = 0, 1, 2, 3. Give the hedging strategy Ao for the lookback option
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