Let S = $100, K = $105, r = 8%, T = 0.5, and = 0.

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Let S = $100, K = $105, r = 8%, T = 0.5, and δ = 0. Let u = 1.3, d = 0.8, and n = 1.
a. What are the premium, Δ, and B for a European call?
b. What are the premium, Δ, and B for a European put?
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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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