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5886数理金融中等数值题medium

Two-Step European Call Via Terminal Weights

题目

On a two-step recombining tree with spot=64, strike=70, u=1.25, d=0.8, r=0, Δt=1, price the European call by weighting the three terminal payoffs with the binomial probabilities q^2, 2q(1-q), (1-q)^2.

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