Exercise 11.2.1 (1) Prove that a European call is equivalent to a portfolio of a European down-and-out
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Exercise 11.2.1 (1) Prove that a European call is equivalent to a portfolio of a European down-and-out option and a European down-and-in option with an identical barrier. (2) Prove that a European put is equivalent to a portfolio of a European up-and-out option and a European up-and-in option with an identical barrier.
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Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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