5551数理金融中等数值题short
Forward Form And Exercise Probability 1
题目
A stock has spot 100, strike 100, rate 0.03, dividend yield 0.01, volatility 0.2, and maturity 1. Under Black-Scholes, what are the forward price F_0,T and the risk-neutral probability that the call finishes in the money?
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你的答案
forward
P_ITM