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4861数理金融中等数值题short

Infer Missing Upper Node From Delta 16

题目

At a stock grid with Delta_S=5, the central-difference delta is approximated by Delta ≈ (V_{i+1}-V_{i-1})/(2*Delta_S). If V_{i-1}=12 and the desk wants Delta=0.8, what V_{i+1} is needed?

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