5881数理金融困难数值题medium
American Put Early Exercise On Two Steps
题目
Price an American put with strike 100 on a two-step tree: spot=100, u=1.2, d=0.8, r=0.03, Δt=1. Give the time-0 value and state whether early exercise occurs at the first down node.
解题计时
0:00
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你的答案
time-0 value
early exercise at first down node