Question
European pricing. Given a standard Black-Scholes model. Fix the time of maturity T and consider the following European type of options whose payoff is K
European pricing. Given a standard Black-Scholes model. Fix the time of maturity T and consider the following European type of options whose payoff is K if S(T) A; the payoff is K + A - S(T) if A < S(T) < K + A, and the payoff is 0 if S(T) > K + A. Determine the arbitrage free price of this contract
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Investment Analysis And Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
9th Edition
0324656122, 978-0324656121
