Consider the problem of pricing the following options via PDE: (a) European Call (b) European Put (c)
Question:
(a) European Call
(b) European Put
(c) Up-and-Out Call
(d) Down-and-Out Put
In each case explain reasonable boundary conditions at f(Smin, t) and f(Smax, t) that could be used when solving the PDE.
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a At S min 0 set C S min 0 This assumption may also be reasonable for S min 0 while S min is suffici...View the full answer
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Related Book For
An Introduction to the Mathematics of Financial Derivatives
ISBN: 978-0123846822
3rd edition
Authors: Ali Hirsa, Salih N. Neftci
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