Question: 2. Consider a 2-period binomial pricing model with u = 2, d = 1/2, r= 1/4 and So = 4. V is a European option

2. Consider a 2-period binomial pricing model with u = 2,

2. Consider a 2-period binomial pricing model with u = 2, d = 1/2, r= 1/4 and So = 4. V is a European option that pays (S2-S1)- at time t= 2. (This is an example of a forward starting call.) Find the replicating portfolio at the zero node for the seller. 2. Consider a 2-period binomial pricing model with u = 2, d = 1/2, r= 1/4 and So = 4. V is a European option that pays (S2-S1)- at time t= 2. (This is an example of a forward starting call.) Find the replicating portfolio at the zero node for the seller

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