The current price of a non-dividend paying stock is 100. The risk free interest rate is 2%. A 5 year European cash binary call option
The current price of a non-dividend paying stock is 100. The risk free interest rate is 2%.
A 5 year European cash binary call option with barrier level K = 110 and cash notional H = 100000 is traded at 31669.34.
What is the fair value of a European cash binary put option of the same maturity and barrier level?
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Authors: Hal Scott, Anna Gelpern
21st Edition
1634602048, 978-1634602044
