2. A barrier COD option is like a COD except that payment for the option occurs whenever...
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2. A barrier COD option is like a COD except that payment for the option occurs whenever a barrier is struck. Price a barrier COD put for the same values as in the previous problem, with a barrier of $95 and a strike of $90. Compute the delta and gamma for the paylater put. Compare the behavior of delta and gamma with that for a COD. Explain the differences, if any.
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Related Book For
Derivatives Markets Pearson New International Edition
ISBN: 978-1292021256
3rd Edition
Authors: Robert L. Mcdonald
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