Question

Suppose the S&P 500 futures price is 1000, σ = 30%, r = 5%, δ = 5%, T = 1, and n = 3.
a. What are the prices of European calls and puts for K = $1000? Why do you find the prices to be equal?
b. What are the prices of American calls and puts for K = $1000?
c. What are the time-0 replicating portfolios for the European call and put?


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  • CreatedAugust 12, 2015
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