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when n = 5 Derive an approximation to the risk-neutral price of an American asset-or-nothing call option when s = 10, t = .25, K
when n = 5
Derive an approximation to the risk-neutral price of an American asset-or-nothing call option when s = 10, t = .25, K = 11, F = 20, sigma = .3, r = .06Step by Step Solution
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Listed Volatility And Variance Derivatives
Authors: Yves Hilpisch
1st Edition
1119167914, 978-1119167914
