# Question

Under the same assumptions as the previous problem, show that the value of a claim paying S2(T ) if S1(T) > KS2(T ) is

where σ2, δ1, and δ2 are defined as in the previous problem.

In the next set of problems you will use Monte Carlo valuation. Assume that S0 = $41,

K = $40, P0 = 0.9802, σ = 0.30, T = 0.25, and δ = 0.

where σ2, δ1, and δ2 are defined as in the previous problem.

In the next set of problems you will use Monte Carlo valuation. Assume that S0 = $41,

K = $40, P0 = 0.9802, σ = 0.30, T = 0.25, and δ = 0.

## Answer to relevant Questions

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