Question: Consider Pr (S t

Consider Pr(St , equation (18.23), and E(St |St < K), equation (18.28). Verify that it is possible to pick parameters such that changes in t can have ambiguous effects on Pr(St (experiment with very short and long times to maturity, and set α >0.5σ2). Is the effect of t on E(St |St ambiguous?

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