Let today be time t. Suppose you want to price a plain vanilla option with expiry date
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Let today be time t. Suppose you want to price a plain vanilla option with expiry date T on a discount bond, maturing at S, within the Black-76-model, with t
Compute the quantity d+/?, required in Black?s formula.
Transcribed Image Text:
O p(t) = o V1 – e-(T-1)
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In the Black76 model the price of a plain vanilla option on a discount bond is given by C erTt NdF K ...View the full answer
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