Question
Let P(S, E, ) be the price of put as given by the BlackScholes formula (6.3). Calculate the limit lim S0+ P(S, E, ), and
Let P(S, E, ) be the price of put as given by the BlackScholes formula (6.3). Calculate the limit lim S0+ P(S, E, ), and explain your answer from the financial perspective.
(6.3) P(t, S, E) = Eer(T t)N(d2) SN(d1),
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International Finance Transactions Policy And Regulation
Authors: Hal Scott, Anna Gelpern
20th Edition
1609303164, 978-1609303167
