Let today be time t. Suppose you want to price a plain vanilla option with expiry date

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Let today be time t. Suppose you want to price a plain vanilla option with expiry date T on a discount bond, maturing at S, within the Black-76-model, with t

Compute the quantity d+/?, required in Black?s formula.

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A First Course in Quantitative Finance

ISBN: 978-1108419574

1st edition

Authors: Thomas Mazzoni

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Question Posted: Feb 19, 2020 10:08 AM

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Let today be time t. Suppose you want to price a plain vanilla option with expiry date

Question:

O p(t) = o V1 – e-(T-1)

Step by Step Answer:

In the Black76 model the price of a plain vanilla option on a discount bond is given by C erTt NdF K ...View the full answer

A First Course in Quantitative Finance

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