Question: Same question as Problem 4 but use the exercise boundary method. Data given in Problem 4 Price a 90 day 100 strike Bermudian option with

Same question as Problem 4 but use the exercise boundary method.

Data given in Problem 4

Price a 90 day 100 strike Bermudian option with 15 day early exercise periods. Assume r = 1 % and σ = 20 %. Use the binomial tree solution method. Plot the price of the option versus originating stock price. Compare the graph with that of its European counterpart.

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Pricing a Bermudian Option with Exercise Boundary Method We can price a 90day Bermudian option with 15day early exercise periods using the exercise boundary methodHeres the breakdown Step 1 Set Up the ... View full answer

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