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In the putback option at time 3 you can buy the stock for the lowest price seen in the past and…


In the putback option at time 3 you can buy the stock for the lowest price seen in the past and sell it at its current price for a profit of

In the putback option at time 3 you can buy the stock for the lowest price seen in the past and...

Suppose that the stock follows the binomial model with S0 = 4, u = 2, d = ½, and r = ¼. (a) Compute the value function Vn(a) and the replicating portfolio ∆n(a) for the three period call option with strike 4. (b) Check your answer for V0 In the putback option at time 3 you can buy the stock for the lowest price seen in the past and...