medium · Quantitative Finance derivatives
A stock trades at S_0 = $50. Calculate the value of a cash-or-nothing binary call option that pays $100 if the stock finishes above K = $52 in T = 0.5 years. Given: r = 4%, σ = 35%, and d_2 = -0.2014. (Note: Phi(-0.20) = 0.4207)
- 42.07
- 100.00
- 51.24
- 41.24
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