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( 2 9 points ) The payoff function of a - option at maturity T is given below, C ( S T , T )
points The payoff function of a option at maturity is given below,
where is the strike price and is the current price of a risky stock. The stock does not pay dividends. and are constant parameters.
In the BlackScholes framework, price the option by partial differential equation approach. You need to show clear derivation steps.
Please evaluate the price of the option when You need to show clear derivation steps.
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