Suppose you observe a one-year cash or nothing digital call option trading for $0.48 and an equivalent

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Suppose you observe a one-year cash or nothing digital call option trading for $0.48 and an equivalent cash or nothing digital put option trading for $0.45. Calculate the implied interest rate (annualized, continuously compounded)?

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Introduction To Derivatives And Risk Management

ISBN: 9781305104969

10th Edition

Authors: Don M. Chance, Robert Brooks

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Question Posted: Apr 07, 2016 08:41 AM

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Suppose you observe a one-year cash or nothing digital call option trading for $0.48 and an equivalent

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Recall long a cashornothing digital call and long ...View the full answer

Introduction To Derivatives And Risk Management

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