Consider the value of a European call option written by an issuer whose only asset is
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Consider the value of a European call option written by an issuer whose only asset is α (
and zero otherwise. Show that the value of this European call option is given by (Johnson and Stulz, 1987)
Transcribed Image Text:
ST - X a ST aST STX ≥ 0 if if STX a ST
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