Question
4. E-Sun Options: an option if all stocks from the underlying basket of securities hit and over a predetermined barrier. A one-period E-Sun call option
4. E-Sun Options: an option if all stocks from the underlying basket of securities hit and over a predetermined barrier. A one-period E-Sun call option on three assets S (F) [V] whose current price $100 ($110) [$106] with a constant growth rate of 10% (8%) [12%] and a declining rate of 10% (8%) [6%] in price. The risk-free rate of one period is 5% and the strike price is $100. The barrier is B = $111. The relationship of movements in asset prices is assumed to be independent. The holder can exercise the options or abandon his right. Please find the premium of E-Sun option at time 0.
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