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3957金融与交易中等derivationmedium

Rebated Down-and-Out Put I

题目

A rebated down-and-out put i pays a rebate of 1.5 at expiry if the barrier event occurs; otherwise it pays the usual vanilla payoff. The monitored path is 80, 76, 72, 75, the barrier is 70, and the strike is 78. What is the payoff?

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