Question
Use the formula for a Cash-or-Nothing European call option in the Black-Scholes model and an appropriate version of put-call parity to derive the formula for
Use the formula for a Cash-or-Nothing European call option in the Black-Scholes model and an appropriate version of put-call parity to derive the formula for a Cash-or-Nothing European put option.
Hint: write down the payoff table for both the put and the call.
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Fundamentals of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
13th edition
978-1285027371, 128502737X, 978-1133541141
