1. (10 marks) Derive the explicit formula of the European call option on the maximal of...
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1. (10 marks) Derive the explicit formula of the European call option on the maximal of 2 assets under the BSM model with payoff function given by f(S(T), S(T), K) = max(max(S(T), S(T)) K,0). - 1. (10 marks) Derive the explicit formula of the European call option on the maximal of 2 assets under the BSM model with payoff function given by f(S(T), S(T), K) = max(max(S(T), S(T)) K,0). -
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We can approach this problem using the same method as in deriving the BlackScholes formula for a sin... View the full answer
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