Problem

28. Given the following parameters, price a gap call option: S= 100, K= 100, T= 1, = 0.3,...

28. Given the following parameters, price a gap call option: S= 100, K= 100, T= 1, = 0.3, r= 0.10, and M= 90. Dividends are = 0.02. Remember, K is the strike price of both calls, and M is the payoff for the cash-or-nothing call if it finishes in the money.

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Solutions For Problems in Chapter 18