3921金融与交易中等derivationmedium
American Put in One-Step Tree I
题目
A one-step binomial model gives next-step option payoffs 0 in the up state and 14 in the down state, with risk-neutral up probability 0.45 and interest rate 5.00% for the step. The option's immediate exercise value today is 7. What are the European and American values today?
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你的答案
European
American