Prove that the payoff function of a protective put position W(x) = max (e x , K)

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Prove that the payoff function of a protective put position W(x) = max (e^x, K) has no transformed payoff function ŵ(z), regular in a connected strip S_w = {z = u + iv: v ∈(α, β)}.

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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 09:51 AM

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Prove that the payoff function of a protective put position W(x) = max (e x , K)

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We will prove that the payoff function of a protective put position W x max ex K does ...View the full answer

A First Course in Quantitative Finance

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