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?

0 replies

Leave a Reply

Want to join the discussion?
Feel free to contribute!

Leave a Reply