For a fixed strike price K 1 , determine the value of the payment trigger that maximizes

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For a fixed strike price K₁, determine the value of the payment trigger that maximizes the payoff of a European gap option.

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Derivative Pricing

ISBN: 9780367734213

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Authors: Ambrose Lo

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Question Posted: Nov 24, 2023 10:31 PM

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For a fixed strike price K 1 , determine the value of the payment trigger that maximizes

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Without loss of generality we consider the case of a gap call option Combining both cases we conclud...View the full answer

Derivative Pricing

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