Same regardless of the payoff formulation of the option

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You are given the following information. S=50, X=50, simple annual risk-free interest rate is 5%, standard deviation of monthly stock returns is 10%. What is the price of a one-year exotic option that pays max(0, X – S^0.5 )? Please use a three period model. Delta and B formulations stay the same regardless of the payoff formulation of the option.

Reference no: EM131081449

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