3956金融与交易中等derivationmedium
Rebated Up-and-Out Call I
题目
A rebated up-and-out call i pays a rebate of 2 at expiry if the barrier event occurs; otherwise it pays the usual vanilla payoff. The monitored path is 100, 107, 111, 109, the barrier is 110, and the strike is 100. What is the payoff?
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