Question: Homework 8. Consider the one-step Binomial model, where K = 10, So = 10, u = 1.3, d=0.8, B = 1.1 and maturity T =

Homework 8. Consider the one-step Binomial model, where K = 10,

Homework 8. Consider the one-step Binomial model, where K = 10, So = 10, u = 1.3, d=0.8, B = 1.1 and maturity T = 1. (a) Find the replicating portfolio (a,b). (b) Find the EMM probability p. (C) Calculate Co, the price of a call option at time 0

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