Problem

25. What has higher value for options of strike K that are at-the-money at inception: (a)...

25. What has higher value for options of strike K that are at-the-money at inception:

(a) A cliquet option with maturity T= 1 year and a single reset at T = 1/2 year?

(b) A one-shout shout option with maturity T= 1 year?

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Solutions For Problems in Chapter 19