A vanilla European put matures in two time steps. At node (2, 1) this vanilla put...

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A vanilla European put matures in two time steps. At node (2, 1) this vanilla put has value P(2, 1) = $1.69 and the underlying asset has value S(2, 1) = $33. Consider an otherwise identical down-and-in European put with barrier B = $44. What is the value of the down-and-in put at node (2, 1)? A vanilla European put matures in two time steps. At node (2, 1) this vanilla put has value P(2, 1) = $1.69 and the underlying asset has value S(2, 1) = $33. Consider an otherwise identical down-and-in European put with barrier B = $44. What is the value of the down-and-in put at node (2, 1)?

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To value the downandin European put at node 2 1 we first need to determine whether the barrier is br... View the full answer