2. Use a change of numeraire and measure to verify that the value of a claim paying...

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2. Use a change of numeraire and measure to verify that the value of a claim paying K if ST

−rT N(−d2). (Note that this is the first term in the Black-Scholes put price. You can mimic the derivation in the text for a cash-or-nothing call.)

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Derivatives Markets Pearson New International Edition

ISBN: 978-1292021256

3rd Edition

Authors: Robert L. Mcdonald

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Question Posted: Jul 22, 2024 09:00 AM

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3. Use a change of numeraire and measure to verify that the value of a claim paying ST if ST
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2. Use a change of numeraire and measure to verify that the value of a claim paying...

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Derivatives Markets Pearson New International Edition

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