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Data for Figure 8.10
Figure 8.10
Table 8.8
Table 8.5
Table 8.4
Time
Input Parameters
u
d
S(0)
K
r
q
up rate
down rate
Interest rate per period
S(t=0)
U
D
(delta stocks minus written call - debt = Risk free), V
Panel 1 : Stock Price, S
Panel 2 : Call Price, C
Panel 3 : Hedge Ratios, h
Panel 4 : Value of Hedge Portfolio: ... more>>