3946金融与交易中等derivationmedium

In-Out Parity Value 1

题目

A note pays the payoff of a no-rebate up-and-out call plus a cash rebate of 2 at expiry if the upper barrier is ever hit. The up-and-out call is worth 4.8 and the cash-at-expiry one-touch rebate is worth 0.9. What is the note worth?

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