Multiple Choice
A binomial tree prices an American option at $3.12 and the corresponding European option at $3.04.The Black-Scholes-Merton price of the European option is $2.98.What is the control variate price of the American option?
A) $3.06
B) $3.18
C) $2.90
D) $3.08
Correct Answer:
Verified
Correct Answer:
Verified
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