Question: ACTSC 446 Mathematical Models in Finance 3. Comider a binOmial tree model. You are given that T = 4, h = 025, u = 1.10,

ACTSC 446 Mathematical Models in Finance

3. Comider a binOmial tree model. You are given that T = 4, h = 025, u = 1.10, em = 1.01, d = 0.92 and 30 = 150. (a) Calculate p(S, 150,0, 1), the price of a EurOpean put Option on S with strike price 150 and maturity 1 (the end of the 4th period). (b) Let X be a European derivative with payoff max{ST, 150} at time 1. Calculate the time0 price of X

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