What difference does it make to the worst-case scenario in Example 22.1 if (a) the options are American rather than
(a) the options are American rather than European and
(b) the options are barrier options that are knocked out if the asset price reaches $65? Use the DerivaGem Applications Builder in conjunction with Solver to search over asset prices between $40 and $60 and volatilities between 18% and 30%
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Question Posted: July 30, 2015 03:12:43