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Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
384 Derivatives and Risk Management
S
T,ddu
= INR 19.35 × (1 – 0.04) = INR 18.57
S
T,udd
= INR 19.35 × (1 – 0.04) = INR 18.57
S
T,ddd
= INR 17.43 × (1 – 0.04) = INR 16.73
e corresponding call values at T are given by
C
T,uuu
= INR 22.76 – INR 21 = INR 1.76
C
T,uud
= INR 20.61 – INR 21 = 0 (since the option cannot have negative value)
C
T,udu
= INR 20.61 – INR 21 = 0 (since the option cannot have negative value)
C
T,duu
= INR 20.61 – INR 21 = 0 (since the option cannot have negative value)
C
T,dud
= INR 19.06 – INR 21 = 0 (since the option cannot have negative value)
C
T,ddu
= INR 19.06 – INR 21 = 0 (since the option cannot have negative value)
C
T,udd
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Publisher Resources

ISBN: 9781299447547Publisher Website