Question: Consider the CoxRossRubinstein model with parameters X0 D K D 1, D D log 2. For the maturity times N D 1; 2;

Consider the Cox–Ross–Rubinstein model with parameters X0 D K D 1, D D log 2. For the maturity times N D 1; 2; 3, find the Black–Scholes price … and the optimal self-financing hedging strategy ˛ˇ.

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