What is an expression for the value of a derivative

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1. Show that the probability that a European call option will be exercised in a risk-neutral world is, with the notation introduced in this chapter, Nd2. What is an expression for the value of a derivative that pays off $100 if the price of a stock at time T is greater than K ?

2. Show that S-2r/σ2 could be the price of a traded derivative security.

4. A company has an issue of executive stock options outstanding. Should dilution be taken into account when the options are valued? Explain your answer.

Reference no: EM131237487

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