Advanced Engineering Mathematics
10th Edition
ISBN: 9780470458365
Author: Erwin Kreyszig
Publisher: Wiley, John & Sons, Incorporated
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Question
A share follows a discrete-time log-normal process with initial price ?=£3000, u=0.02, and o2=0.015, where the time-step is 1 year. Find the probability that a European call on the share with strike price £3300 and expiry date 4 years will be exercised. State your answer as a decimal to three significant figures.
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