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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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0:00

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你的答案

American value

premium over European