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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