easy · Quantitative Finance derivatives
Using the 'in-out parity' for barrier options, if a vanilla European call is worth 7.20 and the corresponding down-and-out call (D&O) is worth 5.85, what must be the value of the down-and-in call (D&I)?
- $13.05
- $0.00
- $5.85
- $1.35
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