Under the same assumptions as the previous problem, show that the value of a claim paying S2(T)
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where σ2, δ1, and δ2 are defined as in the previous problem.
In the next set of problems you will use Monte Carlo valuation. Assume that S0 = $41, K = $40, P0 = 0.9802, σ = 0.30, T = 0.25, and δ = 0.
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S2()e
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