Problem 1. Consider a 6-month 60-strike European double-barrier call option on one share of a non-dividend-paying...
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Problem 1. Consider a 6-month 60-strike European double-barrier call option on one share of a non-dividend-paying stock with a knock-in barrier at 70. If the option is knocked in, a knock-out barrier at 80 becomes effective. The underlying stock is trading at 50 per share. The current prices of several 6-month 60-strike European up-and-out calls are as follows. Barrier Up-and-Out Call Premium 60 70 80 90 Calculate the double-barrier all premium? 0 0.1294 0.7583 1.6616 Problem 1. Consider a 6-month 60-strike European double-barrier call option on one share of a non-dividend-paying stock with a knock-in barrier at 70. If the option is knocked in, a knock-out barrier at 80 becomes effective. The underlying stock is trading at 50 per share. The current prices of several 6-month 60-strike European up-and-out calls are as follows. Barrier Up-and-Out Call Premium 60 70 80 90 Calculate the double-barrier all premium? 0 0.1294 0.7583 1.6616
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Related Book For
Fundamentals of corporate finance
ISBN: 978-0470876442
2nd Edition
Authors: Robert Parrino, David S. Kidwell, Thomas W. Bates
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