3926金融与交易简单derivationmedium
Non-Dividend Call Equality
题目
In a one-step risk-neutral model, the terminal payoffs are 0 and 16, the up probability is 0.5, the step rate is 4.00%, and immediate exercise today is worth 9. What is the American value today, and what is its premium over the matching European?
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你的答案
American value
premium over European