4. In a three-step model, at expiry a European call has values (3,0)=$0, (3,1)=$0, (3,2)=$0...
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4. In a three-step model, at expiry a European call has values (3,0)=$0, (3,1)=$0, (3,2)=$0 and (3,3)=$3. For =0.4 and =1.1, what is the premium of this call?
Group of answer choices
$0.6480
$0.1920
$0.1443
$0.4867
5. A European put has strike =$30. In a three-step model, the underlying asset of this put has values (3,0)=$10, (3,1)=$15, (3,2)=$25, (3,3)=$35. What are the expiry values of this put?
Group of answer choices
$0 (for three nodes) and $5
$10, $15, $25 and $35
$20, $15, $5 and $0
$20, $10, $5 and $0
6. In a two-step model with =1.2, two of the state prices are (2,2)=0.1111and (2,1)=0.3333. The third state price (2,0) must equal
Group of answer choices
1.0021
0.2500
-0.1111
0.2133
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