The cc risk free rate r = -0.15% (yes, r< 0). The spot price for TFS is So = 42.50, the cc dividend rate is 8%, and the annual volatility o = 30%. Using our standard model for a 2 step tree, what is the replicating portfolio at the node t = 0, S = So for a 45 strike call option expiring in 6 months? A = B =

The cc risk free rate r = -0.15% (yes, r< 0). The spot price for TFS is So = 42.50, the cc dividend rate is 8%, and the annual volatility o = 30%. Using our standard model for a 2 step tree, what is the replicating portfolio at the node t = 0, S = So for a 45 strike call option expiring in 6 months? A = B =

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 13P

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