5552数理金融中等数值题short
Forward Form And Exercise Probability 2
题目
A stock has spot 95, strike 100, rate 0.04, dividend yield 0.02, volatility 0.25, and maturity 0.5. 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