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Binomial Option Pricing Model Homework
Data from the Chicago Board of Options Exchange were obtained. The risk-free interest rate was 1.03%. The current price at the point of time the data was collected for the underlying stock was $51.45 per share.
Assume a two period binomial option pricing model is being used. Working with a MAR 50 American style call but without the dividend and assuming the stock can move up by 5% or down by 5%, demonstrate the portfolio return at the end of each of two time periods with appropriate rebalancing of the portfolio.
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On the first seminannually intrest rate, what amount of cash should be paid to the holders of these bonds for interest?
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