Calculate the value of a down and out european call

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Reference no: EM131240128

Use DerivaGem to calculate the value of:

(a) A regular European call option on a non-dividend-paying stock where the stock price is $50, the strike price is $50, the risk-free rate is 5% per annum, the volatility is 30%, and the time to maturity is one year.

(b) A down-and-out European call which is as in (a) with the barrier at $45

(c) A down-and-in European call which is as in (a) with the barrier at $45. Show that the option in (a) is worth the sum of the values of the options in (b) and (c).

Reference no: EM131240128

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