American Down and Out Call. Given (K=100, T=frac{1}{30}, S=100, sigma=0.6, r=) 0.01 , and (B=95). Construct a
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American Down and Out Call. Given \(K=100, T=\frac{1}{30}, S=100, \sigma=0.6, r=\) 0.01 , and \(B=95\). Construct a tree for all nodes below the barrier value \(=0\).
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Related Book For
Quantitative Finance
ISBN: 9781118629956
1st Edition
Authors: Maria Cristina Mariani, Ionut Florescu
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