Let s 100 k 95 r 8 continuously compounded sigma 30, Ask an Expert

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Let S = $100, K = $95, r =8% (continuously compounded), σ = 30%, δ = 0. T = 1 year, and n = 3 (that is, 3 periods). a. Construct the binomial tree for a European call option. Provide the option premium, ?, and B, for each node . b. Construct the binomial tree for a European put option. Provide the option premium, ?, and B, for each node . Please show how to input in Microsoft Excel.

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Financial Management, Finance

Category:- Financial Management
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