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Stock FBN is selling at 60. The risk-free rate is 4 percent per period. Each period,...

Stock FBN is selling at 60. The risk-free rate is 4 percent per period. Each period, the stock price can either go up by 10 percent or down by 10 percent.

Fill in the price sequence as listed below, labeling each stock price and the 65 put values for an American put. (Draw out the tree first to help your calculations, of course. And copy-paste the price sequence to your answer space so you can just fill it in)

S0 = 60

P0 =

_________

Su =

Sd =

Pu =

Pd =

_________

Suu =

Puu =

Sud =

Pud =

Sdd =

Pdd =

Solutions

Expert Solution

P0 =4.2049

_________

Su =66

Sd =54

Pu =1.5923

Pd =11

_________

Suu =72.6

Puu =0

Sud =59.4

Pud =5.6

Sdd =48.6

Pdd =16.4

jeff jeffy answered 2 days ago
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