Assume r = 0.01, sigma= 0.5, T = 1 and S(0) = 100. For X =...

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Assume r = 0.01, sigma= 0.5, T = 1 and S(0) = 100. For X = 100 compute the price of the derivatives contract with the following payoff: h(S(T)) = S(T)-X if S(T) > X X-S(T) if S(T) ≤X Assume r = 0.01, sigma= 0.5, T = 1 and S(0) = 100. For X = 100 compute the price of the derivatives contract with the following payoff: h(S(T)) = S(T)-X if S(T) > X X-S(T) if S(T) ≤X

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The formula for the price of a European call option is given by the BlackScholes fo... View the full answer