Question
Confirm that P(S, t) in (8.24) satisfies (8.25)-(8.27). P(S, t) = Ee^ (r (Tt)) N(d2) SN(d1). (8.24) P(S, T ) = max(E S(T ), 0).
Confirm that P(S, t) in (8.24) satisfies (8.25)-(8.27).
P(S, t) = Ee^ (r (Tt)) N(d2) SN(d1). (8.24)
P(S, T ) = max(E S(T ), 0). (8.25)
P(0, t) = Ee^(r (Tt)), for all 0 t T. (8.26)
P(S, t) 0, for large S. (8.27)
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Transportation A Global Supply Chain Perspective
Authors: John J. Coyle, Robert A. Novak, Brian Gibson, Edward J. Bard
8th edition
9781305445352, 1133592961, 130544535X, 978-1133592969
