MATLAB: An Introduction with Applications
6th Edition
ISBN: 9781119256830
Author: Amos Gilat
Publisher: John Wiley & Sons Inc
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Transcribed Image Text:The following questions are related to binomial tree option pricing.
F
● Information about the underlying asset: spot price 100, expected return 15%,
volatility 20%.
● Information about the market: risk-free rate 5.00%.
Consider an at-the-money American put option maturing in 1 year. Build a 3-step
CRR binomial tree (i.e. show the price changes).
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