Exercise 6.8 (Mertons Bounds) Consider a European call option written on the security considered in Example 6.3.
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Exercise 6.8 (Merton’s Bounds) Consider a European call option written on the security considered in Example 6.3. Let C(t) be the time-t price of the call option with maturity T and strike price K. Using a similar argument given in Example 6.2, prove that
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Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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