Show that Note that By considering the Taylor expansion of n(p ln u d ln d) and np (1 p)(ln u d) 2 in powers of t, show that where nt lim (n, k, p') N(d) n where p' ue ueratp and d In (r ) t OT...

To show the given result lets consider the Taylor expansion of the expression np I ...

Show that Note that By considering the Taylor expansion of n(p ln u/d + ln d) and

Question:

Show that

lim (n, k, p') = N(d) n where p'ue ueratp and d = In + (r + ) t OT

Note that

|| 1 - (n, j, p') j - np' ( P p'(1 p') V In-n(p' In + In d) a ln np'(1 - p') In 0 < a < 1.

By considering the Taylor expansion of n(p′ ln u/d + ln d) and np′ (1 − p′)(ln u/d)² in powers of Δt, show that

lim n _n (pln = 2 + Ind) = (r + 2/) + T d nx ~195 2 lim_ap(1 p') (n ) = n - In =ot,

where nΔt = τ .

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Dec 05, 2023 01:13 AM

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Show that Note that By considering the Taylor expansion of n(p ln u/d + ln d) and

Question:

lim (n, k, p') = N(d₁) n→∞ where p' =ue ueratp and d₁ = In +(r + ²) t O√T

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To show the given result lets consider the Taylor expansion of the expression np I...View the full answer

Mathematical Models Of Financial Derivative

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