5866数理金融中等数值题short
Digital Lower Bound from Call Spread
题目
A cash-or-nothing digital call pays 1 if S_T > 100 and 0 otherwise. Calls with strikes 100 and 105 trade at 6 and 4. Using a static call-spread sub-hedge, what is the strongest model-free lower bound on the digital's price?
解题计时
0:00
提交作答时记录,用于后续平均用时统计。
你的答案