l.1[sb}:The prios of an asset or nothing call is simply:r SUDA = 2U (0.56779) = 11.36 . This allows us to compute d1. 111 + (0.04 + \"352) (0.5) d = ' 0.25mi?) = U.2U153 This yields the following: 5 = U114 r = U118 d2 = U.[}248 The cash or nothing call is valued at 8D'D4NM2) = 0.48806 . 10.1. You wish to purchase some options on a stock that satisfies the following: . S(0) = 20 . F - 6 = 0.04 . 0 = 0.25 . For a six month European call on S with strike 20, Ac = 0.56779 (a) What is the price of a strike 20 asset or nothing call? (b) What is the price of a strike 20 cash or nothing call? A gap option is a derivative that has a strike, style, expiration, and an underlying asset. Because it shares all of the characteristics of calls and puts, we call them gap calls and gap puts. A gap call has a payoff when the #83 (Alt + A) set is greater than the strike, and a gap put has a payoff when the underlying asset is less than the strike. The actual payoff is a vertical shift of a call/put option. The payoff can be replicated using asset or nothing and cash or nothing options. (c) Construct a portfolio consisting of asset or nothing and cash or nothing options to replicate the payoff of a gap call option that pays S(0.5)-15 at time 0.5 when S(0.5) > 20 and zero otherwise. Use this replicating portfolio to determine the price of the gap call