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3927金融与交易简单derivationmedium

American Put Dominance

题目

In a one-step risk-neutral model, the terminal payoffs are 20 and 2, the up probability is 0.55, the step rate is 2.00%, and immediate exercise today is worth 10.2. 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