Question: Problem 1. (Barrier Option) (10 points) Suppose So = 100, 8 = 0, 0 = 0.2, r = 0.03. Assume the 1-year 120-strike up and

Problem 1. (Barrier Option) (10 points) Suppose So = 100, 8

Problem 1. (Barrier Option) (10 points) Suppose So = 100, 8 = 0, 0 = 0.2, r = 0.03. Assume the 1-year 120-strike up and out put with an up and out barrier of 130 has a Black-Scholes Price 2. Question: What is the Black-Scholes price of 1-year 120-strike up and in put with an up and in barrier of 130? Problem 1. (Barrier Option) (10 points) Suppose So = 100, 8 = 0, 0 = 0.2, r = 0.03. Assume the 1-year 120-strike up and out put with an up and out barrier of 130 has a Black-Scholes Price 2. Question: What is the Black-Scholes price of 1-year 120-strike up and in put with an up and in barrier of 130

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