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Geometric brownian motion

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A binary European asset-or-nothing call pays the terminal stock price ST if the stock price is greater than or equal to K and $0 if the stock is less than K. Use risk-neutral pricing assuming the usual geometric Brownian motion to fmd the formula for the value of such a call when the current stock price is S, with interest rate r and volatility 6 when the expiration is 1: and the dividend yield is zero.

Reference no: EM133112920

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