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You wish to purchase some options on a stock that satisfies the following: S(0) = 20 r- = 0.04 = 0.25 For a six month
You wish to purchase some options on a stock that satisfies the following: S(0) = 20 r-= 0.04 = 0.25 For a six month European call on S with strike 20, c= 0.56779
What is the price of a gap option that pays S(0.5) -15 at time 0.5 when S(0.5) > 20?
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