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Keep the record identical
Use current underlying 100, higher expiry 130, lower expiry 80, period factor 1.05 and strike-100 European call amounts 30/0. Changing one state or the rate between methods breaks the comparison.
Reconstruct both current amounts
Replication uses 0.6 underlying units and current cash −48/1.05, giving 60−45.714286=14.285714. Weighting uses q=0.5, giving [0.5×30+0.5×0]/1.05=14.285714.
Inspect each state as well as the price
| Layer | Required check |
|---|---|
| Current cost | Both methods give the same date-zero amount |
| Higher state | Replication matches higher claim payoff |
| Lower state | Replication matches lower claim payoff |
| Inputs | States, payoff and interval are identical |
Locate the cause before choosing an answer
A mismatch can come from forgetting discounting, reversing claim differences or using future cash in a current-cost sum. Matching one rounded price alone is a weaker check than matching both terminal states and the current date.