Build a binomial tree for stock price evolution. Specifically, set the upper movement of the price (u)
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Question:
Build a binomial tree for stock price evolution. Specifically, set the upper movement of the price (u) to an expression that will depend on the number on your group.
u = (1.10 + Group Number/100),
Group1,u=1.11.Group2=1.12. Group3=1.13,...,Group50=1.60
You can define d = 1/u.
- Calculate and show the new Binomial tree for N=6.
- What are the terminal values of each path? Define the appropriate filtrations for each of these values.
Related Book For
Principles of Corporate Finance
ISBN: 978-0072869460
7th edition
Authors: Richard A. Brealey, Stewart C. Myers
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