Question
2. (20 points) Suppose the stock price at time zero is S0, and the stock does not pay dividends. The risk free rate is r
2. (20 points) Suppose the stock price at time zero is S0, and the stock does not pay dividends. The risk free rate is r and the time step is t. Consider an exotic option with present time 0 and the maturity at time T = Nt where N is an even number, and the payoff at the maturity is S2 + S4 + S6 + + SN . What is the time 0 price of this option?
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Accounting Principles Volume 1
Authors: Jerry J. Weygandt, Donald E. Kieso, Paul D. Kimmel, Barbara Trenholm, Valerie Warren, Lori Novak
8th Canadian Edition
978-1119502425
