Exercise 11.2.4 Areset option is like an ordinary option except that the strike price is set to

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Exercise 11.2.4 Areset option is like an ordinary option except that the strike price is set to H when the stock price hits H. Assume that H < X. Create a syntheticreset option with a portfolio of barrier options.

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Financial Engineering And Computation Principles Mathematics Algorithms

ISBN: 9780521781718

1st Edition

Authors: Yuh-Dauh Lyuu

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Question Posted: Oct 26, 2024 12:00 PM

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Exercise 11.2.4 Areset option is like an ordinary option except that the strike price is set to

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Financial Engineering And Computation Principles Mathematics Algorithms

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