Exercise 15.3.4 A call on the maximum of two assets pays max(S1(T), S2(T)) at expiration. Replicate it

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Exercise 15.3.4 A call on the maximum of two assets pays max(S1(T), S2(T)) at expiration. Replicate it by a position in one of the assets plus an exchange option.

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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 15.3.4 A call on the maximum of two assets pays max(S1(T), S2(T)) at expiration. Replicate it by a position in one of the assets plus an exchange option.
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Exercise 15.3.4 A call on the maximum of two assets pays max(S1(T), S2(T)) at expiration. Replicate it

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Financial Engineering And Computation Principles Mathematics Algorithms

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