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A 3-month European Calloncall option on a 6-month call option. The underlying stock is modeled...

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Accounting

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A 3-month European Calloncall option on a 6-month call option. The underlying stock is modeled with 2-period binomial tree, u=1.1, d=0.9. The price of underlying stock is 40 at time 0. delta=0, r=5%, the strike of the Calloncall option is 2, the strike price o underlying call option is 41. Determine the value of this compound option. A 3-month European Calloncall option on a 6-month call option. The underlying stock is modeled with 2-period binomial tree, u=1.1, d=0.9. The price of underlying stock is 40 at time 0. delta=0, r=5%, the strike of the Calloncall option is 2, the strike price o underlying call option is 41. Determine the value of this compound option

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