3959金融与交易中等derivationmedium

Rebated Down-and-Out Put II

题目

A rebated down-and-out put ii pays a rebate of 3 at expiry if the barrier event occurs; otherwise it pays the usual vanilla payoff. The monitored path is 100, 96, 89, 92, the barrier is 90, and the strike is 95. What is the payoff?

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