4885数理金融困难数值题short
Infer Regime Exercise Probability From Overall Expectation 20
题目
In regime A, which occurs with probability 0.4, an option pays 10 if exercised. In regime B, which occurs with probability 0.6, it pays 4 if exercised, and the regime-B exercise probability is 0.25. The overall expected payoff is 2.6. What exercise probability in regime A is implied?
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