(Corridor Options) What is the price of an option that has a maturity of 60 days and...
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(Corridor Options) What is the price of an option that has a maturity of 60 days and pays $1 for each day that the stock price lies in the range (50,60)? The current stock price is S = 55, volatility σ = 0.4, interest rate r = 0.03, and dividends d = 0.
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The value of a corridor option for 60 days is the sum of 60 single day range options that pay off 1 ...View the full answer
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