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A stock follows geometric Brownian motion with time-dependent volatility. How will the time-dependence affect the price of a down-and-out call?

Distinguish the two cases where interest rates are zero and interest rates are positive. Suppose the knock-out is determined by the forward rate for the same expiry instead of the spot price, what happens?

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Computer Engineering, Engineering

Category:- Computer Engineering
Reference No.:- M91943834

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