Consider the fair price of a European plain vanilla binary contract in the Black Scholes-framework. What is

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Consider the fair price of a European plain vanilla binary contract in the Black– Scholes-framework. What is the delta of a binary call and put option?

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Feb 19, 2020 09:27 AM

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Consider the fair price of a European plain vanilla binary contract in the Black Scholes-framework. What is

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Ans The value of European options at the expiration is straightforward The value of a European call option at expiration is the greater of zero or the ...View the full answer

A First Course in Quantitative Finance

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