Exercise 17.1.4 Consider the exploding call spread, which has the same payoff as the bull call spread
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Exercise 17.1.4 Consider the exploding call spread, which has the same payoff as the bull call spread except that it is exercised promptly the moment the stock price touches the trigger price K [377]. (1) Write a combinatorial formula for the value of this path-dependent option. (2) Verify that the valuation of the option runs in linear time.
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Related Book For 
Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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