Show that the fair price of a European plain vanilla call option can be represented as

where I₁(v) and I₂(v) are the complex line integrals

evaluated along the contour v ? (0, 1).

Transcribed Image Text:

Co(K, T) = eb-1)T S, – e-rT K(I((v) + I½(v)), iv+0o niv+o 1(v) = 2л Фо(-2)-dz and h)- *go(-2)-dz, e-izk 2л ir-o eizk pol-2)