Consider the modified binomial formula employed for the numerical valuation of an American put on a nondividend
Question:
Consider the modified binomial formula employed for the numerical valuation of an American put on a nondividend paying asset [see (6.1.14)], deduce the optimal exercise price at time close to expiry from the binomial formula. Compare the result with that of the continuous model by taking the limit Δt → 0.
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Question Posted: