Problem

31. (Requires Writing Code) Implement the formula in the chapter appendix for up-and-out c...

31. (Requires Writing Code) Implement the formula in the chapter appendix for up-and-out calls, and value the option for the following parameters: S = 102, K = 100, r = 5% p.a., barrier H = 130, and maturity T = 0.25. Annualized volatility is Program a tree model to do the same and report the value. Compare the tree model to the closed-form answer.

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Solutions For Problems in Chapter 19