How is the tree in Figure 35.2 modified if the 1- and 2-year futures prices are $21

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How is the tree in Figure 35.2 modified if the 1- and 2-year futures prices are $21 and $22 instead of $22 and $23, respectively. How does this affect the value of the American option in Example 35.3.

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:34 PM

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How is the tree in Figure 35.2 modified if the 1- and 2-year futures prices are $21

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To find the nodes at the end of one year we must solve The solution is 1 3025 To find the nodes at t...View the full answer

Options Futures and Other Derivatives

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