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.

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.

Advanced Engineering Mathematics

10th Edition

ISBN:9780470458365

Author:Erwin Kreyszig

Publisher:Erwin Kreyszig

Chapter2: Second-order Linear Odes

Section: Chapter Questions

Problem 1RQ

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