Question
A (K1, t1, K2, t2 ) double call option is one that can be exercised either at time t1 with strike price K1 or at
A (K1, t1, K2, t2 ) double call option is one that can be exercised either at time t1 with strike price K1 or at time t2 (t2 > t1) with strike price K2.
(a) Assume that K1 < er (t2t1)K2. Argue that there is a value x such that the option should be exercised at time t1 if S(t1) > x and not exercised if S(t1) < x.
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Personal Financial Planning
Authors: Lawrence J. Gitman, Michael D. Joehnk
11th Edition
0324422865, 978-0324422863
