Assume the Black-Scholes framework. A European cash-or-nothing spread on a stock pays $1 at time T if
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Assume the Black-Scholes framework. A European cash-or-nothing spread on a stock pays $1 at time T if and only if the stock price at time T lies in the interval [a, b], where a and b are positive numbers with a < b.
Determine an expression for the price of such a spread using common symbols.
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The payoff of the cashornothing spread can be expressed as the dif...View the full answer
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