Question
A banker creates a derivative that pays off as follows: if ABC ends up below 40, the payoff is 55-P, where P is the price
A banker creates a derivative that pays off as follows: if ABC ends up below 40, the payoff is 55-P, where P is the price of ABC stock in 9 months. If ABC ends up between 40 and 55, inclusive, the payoff is 15. If ABC ends up above 55, the payoff is P-40. What is the value of this derivative?
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Introductory Course On Financial Mathematics
Authors: M V Tretyakov
1st Edition
1908977388, 978-1908977380
