Question: 6.6. Consider the two-period binomial model with u = 2, d = 1/2 and interest rate r = 1/4 and suppose So 100. What

6.6. Consider the two-period binomial model with u = 2, d = 1/2 and interest rate r = 1/4 and suppose So 100. What

6.6. Consider the two-period binomial model with u = 2, d = 1/2 and interest rate r = 1/4 and suppose So 100. What is the value of the European call option with strike price 80, i.e., the option with payoff (S - 80)+. Find the stock holdings Ao, A (H), and A (7) need to replicate the option exactly. Repeat Example 6.6 with: So = 8, u = 3, d = 0.5, r = 0.25, K = 10, 9n = (10 Sn) +

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