Write a computer code for a program that would compute the replicating portfolio values ??0(0),…
Write a computer code for a program that would compute the replicating portfolio values ??0(0), ??1(1) at time 0 in a Cox-Ross-Rubinstein model in which 1 + ?? = ?? ??~??? , ?? = ?? ??v??? ,, ?? = ?? -??v??? ?????? ? = ?? ?? . The payoff to be replicated is the call option pay-off, ??(??) = (?? – ??) +. The input of the program should consist of ??~, ??,??, ??(0), ?? , and n. The output should give ??0(0), ??1(0). Run the program for different values of n. You can check the correctness of your program by setting K = 0, which should produce ??(0) = 0, ??(1) = 1. Note that the program has to compute the values backward from time T to ?? – ???, ?? – 2???, and so on, until time 0. Send your codes in R or Python alongside with results for ?? = 2, ?? = 4, ??(0) = 100 , ?? = 0.20.Mar 26 2022 11:26 AM
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