# Question

Suppose an option knocks in at H1> S, and knocks out at H2 >H1. Suppose that

K## H1, it is not possible to hit H2 without hitting H1):

K

## H1, it is not possible to hit H2 without hitting H1):

What is the value of this option?

## Answer to relevant Questions

Suppose the stock price is $50, but that we plan to buy 100 shares if and when the stock reaches $45. Suppose further that σ = 0.3, r = 0.08, T − t = 1, and δ = 0. This is a non cancellable limit order.
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## Answer to relevant Questions

Suppose the stock price is $50, but that we plan to buy 100 shares if and when the stock reaches $45. Suppose further that σ = 0.3, r = 0.08, T − t = 1, and δ = 0. This is a non cancellable limit order. a. What ...Consider the Level 3 outperformance option with a multiplier, discussed in Section 16.2. This can be valued binomially using the single state variable SLevel 3/SS&P, and multiplying the resulting value by SS&P. a. Compute ...In this problem you will price various options with payoffs based on the Eurostoxx index and the dollar/euro exchange rate. Assume thatQ= 2750 (the index), x = 1.25 ($/=C), s = 0.08 (the exchange rate volatility), σ = 0.2 ...Suppose S = $100, r = 8%, σ = 30%, T = 1, and δ = 0. Use the Black-Scholes formula to generate call and put prices with the strikes ranging from $40 to $250, with increments of $5. Compute the implied volatility from these ...Estimate a GARCH(1,1) for the S&P 500 index, using data from January 1999 to December 2003.Post your question

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