Assume a security follows a geometric brownian motion with, Ask an Expert

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Assume a security follows a geometric Brownian motion with volatility parameter = 0.2. Assume the initial price of the security is 25 and the interest rate is 0. It is known that the price of a down and in barrier option and down and out barrier option with strike price is 22 and expiration 30 days have equal risk-neutral prices. Compute this common risk-neutral price.

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Financial Management, Finance

Category:- Financial Management
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