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A single branch on a Binomial tree is represented by the following diagram. The ...

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A single branch on a Binomial tree is represented by the following diagram. The riskfree rate is 4% and the branch length (delta t) = 6 months

 

Calculate how much money is required to invest in the bank ("B") to replicate the derivative.

Enter your answer to two decimal places.

Do not enter the dollar sign "$".

A positive (negative) number means invest (borrow).

 

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