Consider a European Call option with strike (K) and time to expiration (T). Denote the price of

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Consider a European Call option with strike $K$ and time to expiration $T$. Denote the price of the call for $C(S, T)$ and let $B(T)$ the price of one unit of a zero coupon bond maturing at time $T$.

\[C(S, T) \geq \max \{0, S-K B(T)\}\]

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Quantitative Finance

ISBN: 9781118629956

1st Edition

Authors: Maria Cristina Mariani, Ionut Florescu

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Question Posted: Apr 20, 2024 05:57 AM

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Consider a European Call option with strike (K) and time to expiration (T). Denote the price of

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The inequality you provided is a fundamental property of European call options It states that the pr...View the full answer

Quantitative Finance

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