Let us consider a European-style put option on a non-dividend-paying asset whose price follows a GBM with
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Let us consider a European-style put option on a non-dividend-paying asset whose price follows a GBM with drift 10% and volatility 40% (annualized). The risk-free rate is 5% with continuous compounding. The option matures in six months, the current underlying asset price is 40, and the strike is 50. Find the probability that the payoff is between 10 and 20.
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Related Book For
An Introduction To Financial Markets A Quantitative Approach
ISBN: 9781118014776
1st Edition
Authors: Paolo Brandimarte
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