Suppose S = $100, K = $95, r = 8% (continuously compounded), t = 1, Ï =

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Suppose S = $100, K = $95, r = 8% (continuously compounded), t = 1, Ïƒ = 30%, and Î´ = 5%. Explicitly construct an eight-period binomial tree using the Cox-Ross Rubinstein expressions for u and d:

Compute the prices of European and American calls and puts.

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Derivatives Markets

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Question Posted: Aug 12, 2015 02:39 AM

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Suppose S = $100, K = $95, r = 8% (continuously compounded), t = 1, Ï =

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11 = e

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Stock Tree 233621 210110 188966 188966 169949 169949 152847 152847 152847 137465 137465 137465 12363...View the full answer

Derivatives Markets

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