Question
An asset-or-nothing call option pays amount S T if S T > K and zero otherwise. Assuming the GMB model and the continuous compounding, find
An asset-or-nothing call option pays amount ST if ST > K and zero otherwise. Assuming the GMB model and the continuous compounding, find the value of the option at t = 0 (its actual price).
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
9781285586618
