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发帖数: 519 | 1 stock price is $ 10 with zero interest rate. When the stock hits $15,
you get $1. What is the price of this
option. If the stock price is $ 20, what is the price of the option.
for the first part, we can use exponential martingale to get the answer 2/3
for the second part, it seems that the same approach does not work. my
intuition is that the answer should be
1. but how to show it rigorously? correct me if I am wrong. thanks. |
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