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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?

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