Find the value of an American vanilla put option when (i) riskless interest rate r = 0,

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Find the value of an American vanilla put option when (i) riskless interest rate r = 0, (ii) volatility σ = 0, (iii) strike price X = 0, (iv) asset price S = 0.

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Mathematical Models Of Financial Derivative

ISBN: 9783642447938

2nd Edition

Authors: Yue-Kuen Kwok

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Question Posted: Dec 05, 2023 01:13 AM

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Find the value of an American vanilla put option when (i) riskless interest rate r = 0,

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The BlackScholes formula for an American vanilla put option simplifies to VSt maxK S0 where VSt is ...View the full answer

Mathematical Models Of Financial Derivative

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