Verify that equation (23.14) (for both cases K > H and K < H) solves the boundary

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Verify that equation (23.14) (for both cases K > H and K < H) solves the boundary conditions for an up-and-in cash put.

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Question Posted: Dec 18, 2015 05:17 AM

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Verify that equation (23.14) (for both cases K > H and K < H) solves the boundary

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We must show the formula is a solution to e r T t P where P stands for risk neutral probability We b...View the full answer

Derivatives Markets

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