Consider an initially at-the-money knock-out put option with the knock-out price H set above the strike K.

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Consider an initially at-the-money knock-out put option with the knock-out price H set above the strike K. Will the price of the put be greater, smaller, or equal to that of a vanilla put? Why?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 11, 2024 09:03 AM

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Consider an initially at-the-money knock-out put option with the knock-out price H set above the strike K.

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A vanilla put will result in a positive cash flow as long as the terminal asset price S...View the full answer

Derivatives Principles And Practice

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