Question
Assume that we have the Black-Scholes model, that L is a constant and that L < S(0). Look at the contract X = {10 if
Assume that we have the Black-Scholes model, that L is a constant and that L < S(0).
Look at the contract
X = {10 if S(t) > L for all t [0, T]
0 if S(t) L for some t [0, T] }
Calculate the price process for X.
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IRS Audit Protection And Survival Guide Bars And Restaurants
Authors: Gerald F. Bernard, Daniel J. Baran
1st Edition
0471166375, 978-0471166375
