I Also Have An European Option With S0 55 15 20 Risk Free Interest Rate 9 P A Ma
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?
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