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We will derive a two - state put option value in this problem. We have the following information: 1 0 0 ; x = 1
We will derive a twostate put option value in this problem. We have the following information:
;;
The two possibilities for
The two possibilities for
are and
Construct a portfolio of three shares of stock and four puts. What is the nonrandom payoff to this portfolio? What is the present value of the portfolio?
Payoff and
Payoff and
Payoff and PV
Pavoff and
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