4620数理金融简单数值题short
Replication Inversion 5
题目
A replicating hedge uses Delta = 0.5333 and bond holding B = -39.6 with no discounting over the step. If S_u = 108 and S_d = 78, what payoffs does this hedge produce in the up and down states?
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你的答案
Up state payoff
Down state payoff