Suppose we use a straddle (combination of a call and a put with the same strike m)
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Suppose we use a straddle (combination of a call and a put with the same strike m) in the rollover strategy for hedging the floating strike lookback call and write
Find an integral representation of the strike bonus premium in terms of the distribution functions of ST and mTt . How would you compare the strike bonus premium given in (4.2.14) when the European call option is used in the rollover strategy?
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Mugdha Sisodiya
My self Mugdha Sisodiya from Chhattisgarh India. I have completed my Bachelors degree in 2015 and My Master in Commerce degree in 2016. I am having expertise in Management, Cost and Finance Accounts. Further I have completed my Chartered Accountant and working as a Professional.
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