What is the value of a claim paying Q(T)1S(T)? Check your answer using Proposition 20.4.

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What is the value of a claim paying Q(T)−1S(T)? Check your answer using Proposition 20.4.

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Question Posted: Dec 18, 2015 05:15 AM

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What is the value of a claim paying Q(T)1S(T)? Check your answer using Proposition 20.4.

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Setting b 1 and using Proposition 211 we change the dividend yield of S to 002 02 03 05 001 The pr...View the full answer

Derivatives Markets

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