Consider european-style option with payoff at expiry

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Consider a European-style option with payoff at expiry given by A(s(T)) = S(T). Explain why time zero value of this option must be S0. By using (6.11) show that asking for the discount expected payoff (12.1) to match this value leads immediately to the risk neutrality condition meu = r

Reference no: EM131060544

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Consider european-style option with payoff at expiry : Consider a European-style option with payoff at expiry given by A(s(T)) = S(T). Explain why time zero value of this option must be S0. By using (6.11) show that asking for the discount expected payoff (12.1) to match this value leads immediately to t..

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