Confirm Î C by differentiating (13.78) with respect to S t . (13.78) C,(K, T) = S,P(d1)

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Confirm Î”_Cby differentiating (13.78) with respect to S_t.

(13.78)

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Dec 12, 2018 12:07 PM

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Confirm Î C by differentiating (13.78) with respect to S t . (13.78) C,(K, T) = S,P(d1)

Question:

C,(K, T) = S,P(d1) – e«T-1) KD(d2)

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Computing the partial derivative one obtain...View the full answer

A First Course in Quantitative Finance

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