Question
Assume Black-Scholes framework to price the 6-month option with the following features: Underlying stock price = 100, volatility = 0.3, r = 6 %, =0.02.
Assume Black-Scholes framework to price the 6-month option with the following features: Underlying stock price = 100, volatility = 0.3, r = 6 %, =0.02. The option has the following payoffs in six months
0 if S0.5 <90
10 if 90<= S0.5< 105
2*(S0.5-100) if S0.5>= 105
Calculate the value of this special option
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The Meaningful Money Handbook
Authors: Pete Matthew
1st Edition
0857196510, 978-0857196514
