Question
The probability that a European call option will be exercised (S T > X) in a risk-neutral world isN(d 2 ). What is an expression
The probability that a European call option will be exercised (ST > X) in a risk-neutral world isN(d2). What is an expression for the value of a derivative that pays off $100 if the price of a stock at timeTis greater thanX, and $0 otherwise? Please explain.
(The discount factor ise-rT)
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International Financial Management
Authors: Cheol Eun, Bruce G. Resnick
8th edition
125971778X, 978-1259717789
