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3925金融与交易中等derivationmedium

American Call in One-Step Tree with No Dividend

题目

A one-step binomial model gives next-step option payoffs 1 in the up state and 9 in the down state, with risk-neutral up probability 0.5 and interest rate 0.00% for the step. The option's immediate exercise value today is 4.5. What are the European and American values today?

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European

American