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What position in the stock is there in a replicating portfolio of this call option? In a one-period binomial model with h = 1, the
What position in the stock is there in a replicating portfolio of this call option?
In a one-period binomial model with h = 1, the current price of a non-dividend paying stock is 50, u = 1.2, d = 0.8, and the continuous interest rate is 2%. Consider a calloption on the stock with strike K = 50. What position in the stock (i.e. long or shortand how many) is there in a replicating portfolio of this call optionStep by Step Solution
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