5865数理金融中等数值题short
Digital Upper Bound from Call Spread
题目
A cash-or-nothing digital call pays 1 if S_T > 100 and 0 otherwise. Calls with strikes 95 and 100 trade at 9 and 6. Using a static call-spread super-hedge, what is the tightest model-free upper bound on the digital's price?
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