Find the value of the power European call option. This is an option with exercise price E,
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Find the value of the power European call option. This is an option with exercise price E, expiry at time T, when it has a payoff:
Λ(S) = max(S2 − E, 0).
Note that if the underlying asset price is assumed to be lognormally distributed then the square of the price is also lognormally distributed.
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