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1=call, |
Inputs |
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0=put |
1 |
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call |
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Asset |
100 |
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Solved: |
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Strike |
100 |
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u |
1.100 |
<< magnitude of up jump |
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Time (yrs) |
0.5 |
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d |
0.900 |
<< magnitude of down jump |
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Volatility |
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a |
1.041 |
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Riskless |
8.0% |
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p |
0.7041 |
<< probability of up jump |
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Div Yield |
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1-p |
0.2959 |
<< probability of down jump |
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Time Node |
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0.0 |
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0.50 |
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1.00 |
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121.00 |
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21.000 |
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110.00 |
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14.2054 |
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Stock |
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100.00 |
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99.00 |
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Option |
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9.6092 |
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- |
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90.00 |
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- |
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81.00 |
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$0.0 |
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