You are evaluating the risk of two binary call options. The options have the same expiration date,
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You are evaluating the risk of two binary call options. The options have the same expiration date, but different underlying stocks.The following probability matrix gives the probabilities that either option expires in the money (ITM) or out of the money
(OTM).
What is the probability that Option A ends up in the money? What is the probability that Option B ends up in the money?What is the probability that both options end up in the money? Are the two options independent?
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Related Book For
Quantitative Financial Risk Management
ISBN: 9781119522201,9781119522263
1st Edition
Authors: Michael B. Miller
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