Question
Consider a put on a put compound option, where P1 has a expiry date T1 = 1 and exercise price E1 = 20 and P2
Consider a put on a put compound option, where P1 has a expiry date T1 = 1 and exercise price E1 = 20 and P2 has an expiry date T2 = 3 and exercise price E2 = 90. (a) What is the pay-off function of this compound option at its expiry date?
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Foundations Of Financial Markets And Institutions
Authors: Frank J Fabozzi, Franco G Modigliani, Frank J Jones
4th Edition
0136135315, 978-0136135319
