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problem1. What are no-arbitrage boundary conditions for the value of the European vanilla Call option with strike price K1?

problem2. Another European vanilla Call option with strike price K2 > K1 is trading in market. What are the new no-arbitrage boundary conditions for the value of European vanilla Call option with strike price 1K?

problem3. Another European vanilla Call option with strike price 3K is trading in market. At the expiry of three options (i.e. at 0T=), what are the new no-arbitrage boundary conditions for the value of European vanilla Call option with strike price 1K, if k3 is less than K1 and K1 is less than k2 ; k1 - K3 = K2 -K1

Financial Accounting, Accounting

  • Category:- Financial Accounting
  • Reference No.:- M93873

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