Consider the following up-and-in 60-strike European call options on the same underlying stock with the same time
Question:
Consider the following up-and-in 60-strike European call options on the same underlying stock with the same time to expiration:
The current price of the stock is 50.
Rank the four barrier options, from highest to lowest price.
(A) I ≥ II ≥ III ≥ IV
(B) IV ≥ III ≥ II ≥ I
(C) I = II ≥ III ≥ IV
(D) IV ≥ III ≥ II = I
(E) The correct answer is not given by (A), (B), (C), or (D)
Transcribed Image Text:
Option Barrier I II III IV 55 60 65 70
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C For options I and II S0 50 B K 60 so their payoff formula can be simpli...View the full answer
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