This question has been confusing me the entire afternoon. I do not know how to set up this integral as a function of S and t.

It is the take-home practice from my tutor, I'm just confused and need to figure this problem out, that's why I'm seeking help here.

n and convexity Chapter 14 335 Time^2 wtd 0.0049 0.0190 0.04 18 0.0725 0. 1104 . 1551 0.2060 7) In this question the volatility is 0.4 and the risk free rate of return is 0.08. The payoff function at 0.2625 .3241 expiry is shown in the graph. At expiry the option pays nothing if the stock price is below the .3903 4607 exercise price of $20 and it pays the stock price if the stock price is greater than or equal to $20. 5349 6124 6269 760 Set up the integral that will calculate the value of this option as a function of the stock price, S, and time until expiry , T . What does the integral evaluate to if there is 6 months left to expiry ? xity. OR SIMPLE RUMENTS ITS EASY CALCULATE YIELD, ON AND CONVEXITY d is the rate et value. A or the yield ly different