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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

提交作答时记录,用于后续平均用时统计。

你的答案

time-0 value

early exercise at first down node