Question: Answer question 6 he amount ST if St > K. t the value of the option K and pays 6. An asset-or-nothing call option pays

Answer question 6 he amount ST if St > K. t the Answer question 6

he amount ST if St > K. t the value of the option K and pays 6. An asset-or-nothing call option pays the amou nothing otherwise. Use Theorem 12.3.2 to at time t is Vt = S40 (d1(T t, St, K, 0,r)). Use this result together with that of Exercise 5 to shown a portfolio long in an asset-or-nothing call and short in a with cash K has the same time-t value as a standard call to show that in the BSM moda irt in a cash-or-nothing call he amount ST if St > K. t the value of the option K and pays 6. An asset-or-nothing call option pays the amou nothing otherwise. Use Theorem 12.3.2 to at time t is Vt = S40 (d1(T t, St, K, 0,r)). Use this result together with that of Exercise 5 to shown a portfolio long in an asset-or-nothing call and short in a with cash K has the same time-t value as a standard call to show that in the BSM moda irt in a cash-or-nothing call

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