=+21. Assuming that the interest rate r is constant, prove the following inequality for a European call

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=+21. Assuming that the interest rate r is constant, prove the following inequality for a European call price C0 at time t = 0 with strike K and maturity T:

– Ke–rT ≤ C0

, where S0 is the price of the underlier at t = 0.

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Introductory Course On Financial Mathematics

ISBN: 9781908977380

1st Edition

Authors: M V Tretyakov

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Question Posted: Oct 23, 2024 08:06 AM

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=+21. Assuming that the interest rate r is constant, prove the following inequality for a European call

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Introductory Course On Financial Mathematics

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