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Assume a security follows a geometric Brownian motion with volatility parameter ? = 0.2. Assume the initial price of the security is 21 and the
Assume a security follows a geometric Brownian motion with volatility parameter ? = 0.2. Assume the initial price of the security is 21 and the interest rate is 0. It is known that the price of a down-and-in barrier option and a down-and-out barrier option with strike price 19 and expiration 30 days have equal risk-neutral prices. Compute this common risk-neutral price.
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