This problem is a continuation of the discussion of section 16.6. Show that as n ,

Question:

This problem is a continuation of the discussion of section 16.6. Show that as n → ∞, the binomial European put price converges to the Black-Scholes put price. (Note that, as part of the chapter spreadsheet for this chapter, we have included a function called BSPut , which computes the Black-Scholes put price.)

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