Question: Barrier call option prices are shown in the table below. Each option has the same underlying asset and the same strike price. Calculate $X, the

Barrier call option prices are shown in the table below. Each option has the same underlying asset and the same strike price.

Type of Option down-and-out up-and-out down-and-in up-and-in down rebate up rebate Price $25 $15 $30 $X $25

Calculate $X, the price of the up-and-in option.

(A) $20

(B) $25

(C) $30

(D) $35

(E) $40

Type of Option down-and-out up-and-out down-and-in up-and-in down rebate up rebate Price $25 $15 $30 $X $25 $20 Barrier 30,000 50,000 30,000 50,000 30,000 50,000

Step by Step Solution

3.49 Rating (169 Votes )

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock

E This question involves two applications of the barrier option parity 8... View full answer

blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Derivative Pricing Questions!