5862数理金融困难数值题medium
Arrow-Debreu Prices From Option Quotes
题目
A stock has three future states with prices 120, 100, and 80; the risk-free rate is 0. Calls struck at 80 trade at 28 and calls struck at 100 trade at 8. Using the digital/butterfly decomposition, find the Arrow-Debreu price of the single highest state (the state where the stock ends at 120).
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