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QUESTION
I also have an European Option with S0 = 55; = 15%; = 20%; risk-free interest rate = 9% p.a. Maturity T = 3 month and the following payoff-profile is...
I also have an European Option with S0 = 55; µ = 15%; σ = 20%; risk-free interest rate = 9% p.a. Maturity T = 3 month and the following payoff-profile is given:
0 ... ... .St< 50
???????? = {1 ... ... . 50 ≤ St < 60
2 ... ... . St ≥ 60
How can i decompose this product in its elementary components?
