3949金融与交易中等derivationmedium
In-Out Parity Value 4
题目
A note pays the vanilla call payoff if an upper barrier is never hit, but pays a fixed 3 at expiry if the barrier is hit. The vanilla call is worth 12.1, the matching no-rebate up-and-in call is worth 5.4, and the touch rebate is worth 1.2. What is the note worth?
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