Suppose that a share follows a discrete time log-normal process with initial price £150, and parameters = 0.01 and o² = 0.025 The time-step is one year. Find the probability that a European put on the share with strike price £170 and expiry date 3 years will be exercised. Enter your answer as a decimal correct to two significant figures. Answer:
Suppose that a share follows a discrete time log-normal process with initial price £150, and parameters = 0.01 and o² = 0.025 The time-step is one year. Find the probability that a European put on the share with strike price £170 and expiry date 3 years will be exercised. Enter your answer as a decimal correct to two significant figures. Answer:
Chapter5: Exponential And Logarithmic Functions
Section: Chapter Questions
Problem 37CT: On the day a grandchild is born, a grandparent deposits $2500 in a fund earning 7.5% interest,...
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
Transcribed Image Text:Suppose that a share follows a discrete time log-normal process with initial price £150, and parameters = 0.01 and o² = 0.025
The time-step is one year. Find the probability that a European put on the share with strike price £170 and expiry date 3 years will
be exercised. Enter your answer as a decimal correct to two significant figures.
Answer:
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