Solutions fundamentals of futures and options markets 7e by hull chapter 12

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... figure Figure S12.1 Tree for Problem 12. 12 Problem 12. 13 For the situation considered in Problem 12. 12, what is the value of a six-month European put option with a strike price of $51? Verify... shown in Figure S12.2 We get a payoff of 51 − 50.35 = 0.65 if the middle final node is reached and a payoff of 51 − 45 .125 = 5.875 if the lowest final node is reached The value of the option is... increases by a relatively small amount q This increases the value of being at node C by q and the value of being at node B by 0.34 77e −0.03q = 0.3374q It therefore increases the value of being
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