Check that if we use the pricing formula for European non-path dependent options on dividend-paying assets, but

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Check that if we use the pricing formula for European non-path dependent options on dividend-paying assets, but for a single asset (i.e. in one dimension), we recover the solution found in Chapter 8:

e-(T-f) V(S, t) = o/27 (T - . e (log(s/s')+(r-02)(T-n)* / 202(T-n). e Payoff(S') dS So

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Introduces Quantitative Finance

ISBN: 978-0470319581

2nd edition

Authors: Paul Wilmott

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Question Posted: Sep 23, 2020 05:57 AM

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Check that if we use the pricing formula for European non-path dependent options on dividend-paying assets, but

Question:

e-(T-f) V(S, t) = o/27 (T - . e (log(s/s')+(r-02)(T-n)* / 202(T-n). e Payoff(S') dS So

Step by Step Answer:

The provided formula is logSS T1 2 T1 VSt 2xT1 Joe 2 PayoffS dS And the standard BlackScholes formul...View the full answer

Introduces Quantitative Finance

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