Downloaded from www.iijournals.com by NEW YORK UNIVERSITY on 08/06/15.It is illegal to make unauthorized copies of this article, forward to an unauthorized user or to post electronically without Publisher permission. s(0) = 30, p = 0.7114, u = 1.2214, d = 0.8187, Conversion ratio = 3, Call price = 105, Risk-free yield = 10%, and Risky yield = 15%.
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